Related papers: Information and Stock Prices: A Simple Introductio…
We make an attempt to map a simple economically motivated model for the price evolution [J. Phys. A: Gen. Math 33, 3637 (2000)] to the phenomenological renormalization group scaling of stock markets. This mapping gives insight into the…
Analyzing stocks and making higher accurate predictions on where the price is heading continues to become more and more challenging therefore, we designed a new financial algorithm that leverages social media sentiment analysis to enhance…
Data are invaluable. How can we assess the value of data objectively, systematically and quantitatively? Pricing data, or information goods in general, has been studied and practiced in dispersed areas and principles, such as economics,…
There is bountiful evidence that political uncertainty stemming from presidential elections or doubt about the direction of future policy make financial markets significantly volatile, especially in proximity to close elections or elections…
We define what "Price Impact" means, and how it is measured and modelled in the recent literature. Although this notion seems to convey the idea of a forceful and intuitive mechanism, we discuss why things might not be that simple.…
Decisions taken in our everyday lives are based on a wide variety of information so it is generally very difficult to assess what are the strategies that guide us. Stock market therefore provides a rich environment to study how people take…
This paper examines the effect of macroeconomic news announcements (MNA) on the stock market. Stocks exhibit a strong positive response to major MNA: 1 standard deviation of MNA surprise causes 11-25 bps higher returns. This response is…
This paper contributes a new machine learning solution for stock movement prediction, which aims to predict whether the price of a stock will be up or down in the near future. The key novelty is that we propose to employ adversarial…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
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 examines the effects of U.S. presidential election cycles on sectoral stock markets. Using a high-frequency identification approach, I construct a novel "election shock'' series, which captures exogenous surprises in election…
We consider a market of risky financial assets whose participants are an informed trader, a representative uninformed trader, and noisy liquidity providers. We prove the existence of a market-clearing equilibrium when the insider…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
This study examines how positive and negative news about firms is associated with stock prices and whether these associations extend to firms' suppliers and clients connected through supply chain relationships, using large samples of…
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them.…
Recent studies using data on social media and stock markets have mainly focused on predicting stock returns. Instead of predicting stock price movements, we examine the relation between Facebook data and investors' decision making in stock…
It is usually assumed that stock prices reflect a balance between large numbers of small individual sellers and buyers. However, over the past fifty years mutual funds and other institutional shareholders have assumed an ever increasing…
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…
This is a short commentary piece that discusses how the methods used in the natural sciences can apply to economics in general and financial markets specifically.