Working Papers

Quantitative Finance




Big data applications with theoretical models and social media in financial management

Author:Taiga Saito, Shivam Gupta


This study presents big data applications with quantitative theoretical models in financial management and investigates possible incorporation of social media factors into the models. Specifically, we examine three models, a revenue management model, an interest rate model with market sentiments, and a high-frequency trading equity market model, and consider possible extensions of those models to include social media. Since social media plays a substantial role in promoting products and services, engaging with customers, and sharing sentiments among market participants, it is important to include social media factors in the stochastic optimization models for financial management. Moreover, we compare the three models from a qualitative and quantitative point of view and provide managerial implications on how these models are synthetically used along with social media in financial management with a concrete case of a hotel REIT. The contribution of this research is that we investigate the possible incorporation of social media factors into the three models whose objectives are revenue management and debt and equity financing, essential areas in financial management, which helps to estimate the effect and the impact of social media quantitatively if internal data necessary for parameter estimation are available, and provide managerial implications for the synthetic use of the three models from a higher viewpoint. The numerical experiment along with the proposition indicates that the model can be used in the revenue management of hotels, and by improving the social media factor, the hotel can work on maximizing its sales.