Dynamics of investor attention on the social web

The World Wide Web has been revolutionizing how investors produce and consume information while participating in financial markets. Both the amount of information and the speed it flows around have achieved unprecedented magnitudes. The preeminent change is the growth of investor communities on the social web, which give rise to multidimensional information channels in real time. In achieving information processing so as to make investment decisions, what is immediately impacted is investor attention. Like other valuable resources in the economy, investor attention is limited. Therefore, it is crucial to understand how investors allocate their attention resources and the corresponding impacts for the financial markets. Leveraging statistical analysis of" Big Data" relevant to real investors, this dissertation investigates micro-structures, temporal dynamics, and market impacts of investors' selective attention. We …