Related papers: Does Overnight News Explain Overnight Returns?
Automatic unreliable news detection is a research problem with great potential impact. Recently, several papers have shown promising results on large-scale news datasets with models that only use the article itself without resorting to any…
A symmetry-guided definition of time may enhance and simplify the analysis of historical series with recurrent patterns and seasonalities. By enforcing simple-scaling and stationarity of the distributions of returns, we identify a…
Predicting future prices of a stock is an arduous task to perform. However, incorporating additional elements can significantly improve our predictions, rather than relying solely on a stock's historical price data to forecast its future…
There is a broad consensus that news media outlets incorporate ideological biases in their news articles. However, prior studies on measuring the discrepancies among media outlets and further dissecting the origins of thematic differences…
Several recent works have empirically observed that Convolutional Neural Nets (CNNs) are (approximately) invertible. To understand this approximate invertibility phenomenon and how to leverage it more effectively, we focus on a theoretical…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To…
We propose how to quantify high-frequency market sentiment using high-frequency news from NASDAQ news platform and support vector machine classifiers. News arrive at markets randomly and the resulting news sentiment behaves like a…
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We…
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
Investor sentiment reflects the collective attitude of investors towards the asset, whether positive, negative or neutral. Market information, such as news and relevant social media posts, plays a significant role in shaping investor…
This paper studies cross-market return predictability through a machine learning framework that preserves economic structure. Exploiting the non-overlapping trading hours of the U.S. and Chinese equity markets, we construct a directed…
Various parametric volatility models for financial data have been developed to incorporate high-frequency realized volatilities and better capture market dynamics. However, because high-frequency trading data are not available during the…
Many news outlets allow users to contribute comments on topics about daily world events. News articles are the seeds that spring users' interest to contribute content, i.e., comments. An article may attract an apathetic user engagement…
The analysis which assumes that tick by tick data is linear may lead to wrong conclusions if the underlying process is multiplicative. We compare data analysis done with the return and stock differences and we study the limits within the…
Online social media platforms offer access to a vast amount of information, but sifting through the abundance of news can be overwhelming and tiring for readers. personalised recommendation algorithms can help users find information that…
Narratives are fundamental to our understanding of the world, providing us with a natural structure for knowledge representation over time. Computational narrative extraction is a subfield of artificial intelligence that makes heavy use of…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
In this paper we provide compelling evidence of cyclical mean reversion and multiperiod stock return predictability over horizons of about 30 years with a half-life of about 15 years. This implies that the US stock market follows a…
We investigate the trading behavior of a large set of single investors trading the highly liquid Nokia stock over the period 2003-2008 with the aim of determining the relative role of endogenous and exogenous factors that may affect their…
In this paper we explain the wild fluctuations of financial prices from the intrinsic amplifying feedback of speculative supply and demand. Formally, we show that an asset return follows a multiplicative random growth with exogenous input,…