Related papers: Understanding the Excess Bond Premium
This study presents a novel approach to incorporating news topics and their associated sentiment into predictions of breakeven inflation rate (BEIR) movements for eight countries with mature bond markets. We calibrate five classes of…
Behavioural economics provides labels for patterns in human economic behaviour. Probability weighting is one such label. It expresses a mismatch between probabilities used in a formal model of a decision (i.e. model parameters) and…
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented through a self-exciting…
Understanding the mutual relationships between information flows and social activity in society today is one of the cornerstones of the social sciences. In financial economics, the key issue in this regard is understanding and quantifying…
News has traditionally been well researched, with studies ranging from sentiment analysis to event detection and topic tracking. We extend the focus to two surprisingly under-researched aspects of news: \emph{framing} and \emph{predictive…
We examine whether news can improve realised volatility forecasting using a modern yet operationally simple NLP framework. News text is transformed into embedding-based representations, and forecasts are evaluated both as a standalone,…
We apply empirical Bayes (EB) to mine data on 136,000 long-short strategies constructed from accounting ratios, past returns, and ticker symbols. This ``high-throughput asset pricing'' matches the out-of-sample performance of top journals…
The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets. Our journey through this area stops to take closer looks at…
Using machine learning and alternative data for the prediction of financial markets has been a popular topic in recent years. Many financial variables such as stock price, historical volatility and trade volume have already been through…
Randomness in scientific estimation is generally assumed to arise from unmeasured or uncontrolled factors. However, when combining subjective probability estimates, heterogeneity stemming from people's cognitive or information diversity is…
News is a pertinent source of information on financial risks and stress factors, which nevertheless is challenging to harness due to the sparse and unstructured nature of natural text. We propose an approach based on distributional…
News media coverage of monetary policy is not a passive transcript of central-bank communication: it filters announcements, macroeconomic news, and editorial choices into narratives that move expectations and policy decisions. We embed…
Stock market prediction is one of the most attractive research topic since the successful prediction on the market's future movement leads to significant profit. Traditional short term stock market predictions are usually based on the…
In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for…
We present a Hawkes model approach to foreign exchange market in which the high frequency price dynamics is affected by a self exciting mechanism and an exogenous component, generated by the pre-announced arrival of macroeconomic news. By…
Using the Crypto Fear & Greed Index and Bitcoin daily data, we document that sentiment extremity predicts excess uncertainty beyond realized volatility. Extreme fear and extreme greed regimes exhibit significantly higher spreads than…
The new digital revolution of big data is deeply changing our capability of understanding society and forecasting the outcome of many social and economic systems. Unfortunately, information can be very heterogeneous in the importance,…
The mainstream media has much leeway in what it chooses to cover and how it covers it. These choices have real-world consequences on what people know and their subsequent behaviors. However, the lack of objective measures to evaluate…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
The Efficient Market Hypothesis (EMH) highlights the essence of financial news in stock price movement. Financial news comes in the form of corporate announcements, news titles, and other forms of digital text. The generation of insights…