Related papers: Nowcasting Stock Implied Volatility with Twitter
Artificial intelligence (AI)-powered recommender systems play a crucial role in determining the content that users are exposed to on social media platforms. However, the behavioural patterns of these systems are often opaque, complicating…
Emerging interest of trading companies and hedge funds in mining social web has created new avenues for intelligent systems that make use of public opinion in driving investment decisions. It is well accepted that at high frequency trading,…
Can fully agentic AI nowcast stock returns? We deploy a state-of-the-art Large Language Model to evaluate the attractiveness of each Russell 1000 stock daily, starting from April 2025 when AI web interfaces enabled real-time search. Our…
Volatility is a quantity of measurement for the price movements of stocks or options which indicates the uncertainty within financial markets. As an indicator of the level of risk or the degree of variation, volatility is important to…
Volatility in stock markets has been extensively studied in the applied finance literature. In this paper, Artificial Neural Network models based on various back propagation algorithms have been constructed to predict volatility in the…
The digital town hall of Twitter becomes a preferred medium of communication for individuals and organizations across the globe. Some of them reach audiences of millions, while others struggle to get noticed. Given the impact of social…
The leverage effect-- the correlation between an asset's return and its volatility-- has played a key role in forecasting and understanding volatility and risk. While it is a long standing consensus that leverage effects exist and improve…
Financial markets are interconnected, with micro-currents propagating across global markets and shaping economic trends. This paper moves beyond traditional stock market indices to examine cross-sectional return distributions-15 in our…
Stock selection attempts to rank a list of stocks for optimizing investment decision making, aiming at minimizing investment risks while maximizing profit returns. Recently, researchers have developed various (recurrent) neural…
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The…
Financial market prediction on the basis of online sentiment tracking has drawn a lot of attention recently. However, most results in this emerging domain rely on a unique, particular combination of data sets and sentiment tracking tools.…
Stock trend prediction plays a critical role in seeking maximized profit from stock investment. However, precise trend prediction is very difficult since the highly volatile and non-stationary nature of stock market. Exploding information…
This paper tries to address the problem of stock market prediction leveraging artificial intelligence (AI) strategies. The stock market prediction can be modeled based on two principal analyses called technical and fundamental. In the…
In this paper, we present computational models to predict Twitter users' attitude towards a specific brand through their personal and social characteristics. We also predict their likelihood to take different actions based on their…
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility…
According to behavioral finance, stock market returns are influenced by emotional, social and psychological factors. Several recent works support this theory by providing evidence of correlation between stock market prices and collective…
We live in a computerized and networked society where many of our actions leave a digital trace and affect other people's actions. This has lead to the emergence of a new data-driven research field: mathematical methods of computer science,…
The stock market is a network which provides a platform for almost all major economic transactions. While investing in the stock market is a good idea, investing in individual stocks may not be, especially for the casual investor. Smart…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
Accurate prediction of stock market trends is crucial for informed investment decisions and effective portfolio management, ultimately leading to enhanced wealth creation and risk mitigation. This study proposes a novel approach for…