Wisdom of the crowds in forecasting COVID-19 spreading severity

In this work we report that the public reacted on social media at an early stage of the COVID-19 pandemic in a surprisingly accurate way, with activity levels reflecting the severity of the contagion figures registered almost a month later. Specifically, the intensity of COVID-related social media activity from different Italian regions at the beginning of the epidemic (21-24/2/2020), predicts well the total number of deaths reached almost a month later (21/3/2020) in each region. It should be noted that at the time of the initial twitter reaction no tabled regional data on the epidemic was readily available. By the 24th February 2020 only two regions reported death cases and only three reported infected subjects.
by Jeremy Turiel and Tomaso Aste
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Market structure dynamics during COVID-19 outbreak

In this note we discuss the impact of the COVID-19 outbreak from the perspective of market-structure. We observe that US marketstructure has dramatically changed during the past four weeks and that the level of change has followed the number of infected cases reported in the USA. Presently, market-structure resembles most closely the structure during the middle of the 2008 crisis but there are signs that it may be starting to evolve into a new structure altogether. This is the first article of a series where we will be analysing and discussing market-structure as it evolves to a state of further instability or, more optimistically, stabilisation and recovery.
by Pier Francesco Procacci, Carolyn E. Phelan, and Tomaso Aste

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Human infection and market infection dynamics in COVID-19 crisis

Comparison between COVID-19 cumulative recorded cases per geographical area (we look at individual countries only for the advanced and particular cases of China and Italy) and average intraday return volatility throughout the tradable financial indices of the region.

We compare the dynamics of market stress with the recorded COVID-19 infection cases for 184 countries and relative markets around the world. We observe that most markets react with a surge in intraday volatility corresponding in time with the surge in recorded cases. Some countries such as Australia and in the Middle East record also an early exogenous market surge most likely triggered by their exposure to the commodity market and the initial outbreak in China. The observed market stress dynamics seems to indicate that market turmoil will eventually stabilize once the tide of human infection recedes.
By Jeremy Turiel, Carolyn Phelan and Tomaso Aste

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