We propose a regression-based algorithm that allows to construct arbitrarily many comparable, multi-annual, consistent time series on monthly, weekly, daily, hourly and minute-by-minute search volume indices based on the scattered data obtained from Google Trends. The accuracy of the algorithm...

Social media data presents challenges for forecasters since one must convert text into data and deal with issues related to these measures being collected at different frequencies and volumes than traditional financial data. In this paper, we use a deep learning algorithm to measure sentiment...