Related papers: News-sentiment networks as a risk indicator
All groups of people felt the impact of the COVID-19 pandemic. This situation triggers anxiety, which is bad for everyone. The government's role is very influential in solving these problems with its work program. It also has many pros and…
In an era where financial markets are heavily influenced by many static and dynamic factors, it has become increasingly critical to carefully integrate diverse data sources with machine learning for accurate stock price prediction. This…
It is widely acknowledged that extracting market sentiments from news data benefits market predictions. However, existing methods of using financial sentiments remain simplistic, relying on equal-weight and static aggregation to manage…
This research evaluates the performance of an Artificial Neural Network based prediction system that was employed on the Shanghai Stock Exchange for the period 21-Sep-2016 to 11-Oct-2016. It is a follow-up to a previous paper in which the…
Financial sentiment analysis is crucial for understanding the influence of news on stock prices. Recently, large language models (LLMs) have been widely adopted for this purpose due to their advanced text analysis capabilities. However,…
This paper will discuss how headline data can be used to predict stock prices. The stock price in question is the SPDR S&P 500 ETF Trust, also known as SPY that tracks the performance of the largest 500 publicly traded corporations in the…
Despite the efficient market hypothesis, many studies suggest the existence of inefficiencies in the stock market leading to the development of techniques to gain above-market returns. Systematic trading has undergone significant advances…
Social media have substantially altered the way brands and businesses advertise: Online Social Networks provide brands with more versatile and dynamic channels for advertisement than traditional media (e.g., TV and radio). Levels of…
Behavioral theories posit that investor sentiment exhibits predictive power for stock returns, whereas there is little study have investigated the relationship between the time horizon of the predictive effect of investor sentiment and the…
Stock price movement prediction is a challenging and essential problem in finance. While it is well established in modern behavioral finance that the share prices of related stocks often move after the release of news via reactions and…
Predicting investors reactions to financial and political news is important for the early detection of stock market jitters. Evidence from several recent studies suggests that online social media could improve prediction of stock market…
Credit risk management, the practice of mitigating losses by understanding the adequacy of a borrower's capital and loan loss reserves, has long been imperative to any financial institution's long-term sustainability and growth. MassMutual…
This paper aims to show how some popular topics on social networks can be used to predict online newspaper views, related to the topics. Newspapers site and many social networks, become a good source of data to analyse and explain complex…
This work presents an asset pricing model that under rational expectation equilibrium perspective shows how, depending on risk aversion and noise volatility, a risky-asset has one equilibrium price that differs in term of efficiency: an…
We present a new machine learning and text information extraction approach to detection of cyber threat events in Twitter that are novel (previously non-extant) and developing (marked by significance with respect to similarity with a…
Volatility is a natural risk measure in finance as it quantifies the variation of stock prices. A frequently considered problem in mathematical finance is to forecast different estimates of volatility. What makes it promising to use deep…
This paper proposes a theory of stock market predictability patterns based on a model of heterogeneous beliefs. In a discrete finite time framework, some agents receive news about an asset's fundamental value through a noisy signal. The…
The value of stocks, indices and other assets, are examples of stochastic processes with unpredictable dynamics. In this paper, we discuss asymmetries in short term price movements that can not be associated with a long term positive trend.…
How the online social media, like Twitter or its variant Weibo, interacts with the stock market and whether it can be a convincing proxy to predict the stock market have been debated for years, especially for China. As the traditional…
Motivated by recent financial crises significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said about influence of financial news on financial markets. We…