The Wiley Finance Series : Handbook of News Analytics in Finance

participants believe current conditions that affect volatility are different from their typical state. Hence these models should ...

Parameters Vkt denotes the variance for assetkat time pointt2f 1 ;...;Tg; (^) kit denotes factor sensitivity (exposure) to facto ...

whereðitÞ^2 are the new factor variances implied by the updated asset variances. We solve this set of simultaneous equations t ...

use the information about changing market sentiment to update our beliefs about factor volatility. The score ant measures market ...

13.4 Computational experiments Two separate computational studies were undertaken. The first covers the period in January 2008 w ...

combination of option-implied volatility data and sentiment data (q¼0.5) and the final column the values for the model updated u ...

takeover of HBOS, and on September 19 restrictions imposed on short-selling of financial stocks. This second study covers the pe ...

non-financial companies we see that financial stocks volatility has risen significantly more than non-financial stocks. This see ...

is qualitative data. RavenPack has developed linguistic analytics that process the textual input of news stories to determine qu ...

13.A.3 Score calculation The tagging of individual stories can be used to aggregate sentiment scores of specific companies, such ...

ECM_SCORE A raw score that represents the aggregate news sentiment for the given company over the given time period according to ...

Tetlock P.C.; Saar-Tsechansky M.; Macskassy S. (2008) ‘‘More than words: Quantifying language to measure firms’ fundamentals,’’ ...

Part IV Industry insights, technology, products, and service providers ...

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Richard Brown While the mass adoption of machine-readable news in trading environments is still in its early stages, there are a ...

mentioned in market commentary (i.e., ‘‘Microsoft Down in Late Day Trading’’). This can become a source of frustration and tradi ...

presence of a highly positive event can help reduce slippage and lower your transaction costs. Measuring the item’s novelty, or ...

all ‘‘bubbles’’ and going long on all stealth companies, but there are a number of near- term reversals (hours to days) that can ...

Armando Gonzalez To make business decisions, people have been manually extracting patterns from news for centuries, but the incr ...

impact on their position or portfolio. Also, news events on earnings, product recalls, layoffs, stock or credit ratings, and man ...