The Wiley Finance Series : Handbook of News Analytics in Finance

count of the number of times each lexical item appears in each messagenðmj;wkÞ. Given the class of each message in the training ...

Das and Chen check that the constructed sentiment indices have a relationship with relevant asset variables. The relationship be ...

(1) List of keywords and phrases with real-valued weights;ðW 1 ; 1 Þ;...;ðWk; kÞ. (2) A rolling ‘‘sentiment’’ window of sizer(s ...

Lo notes the determination of weights can be expressed as a more general classification problem. Other techniques might be appli ...

impactrealizedforeign exchange volatility. He further considers the relationship of the indices toimplied volatility. The NEI vo ...

The information flow and the (semi) automation of the corresponding IS architecture is set out in Figure 1.8. There are two stre ...

risks, risky, uncertain, uncertainty and uncertainties occur within the management discussion and analysis sections. A strategy ...

outperform the market. Tetlock, Saar-Tsechansky, and Macskassy (2008) note that an investor’s perception about future asset retu ...

as ones that display abnormal trading volumes, extreme one-day returns or are men- tioned on the Dow Jones News Service. In cont ...

1.4.3 Monitoring risk and risk control For effective financial risk control, fund management companies need to identify, underst ...

increase in private investor attention to negative news can predict a rise in volatility. Increased private investor attention t ...

rises resulting in more stock price volatility. If news flow can be used effectively to predict volume or volatility spikes then ...

1.A APPENDIX: STRUCTURE AND CONTENT OF NEWS DATA In this appendix we summarize the services offered by two leading providers of ...

(ii) Method and types of scores Timestamp (GMT):DD MM YYYY hh:mm:ss:sss The date and time of the news item as time-stamped by th ...

Total sentences:The total number of sentences in the news item. Can be used in conjunction with First Mention to determine the r ...

LNKD _IDn, LNKD _IDPVn:The ITEM _IDs of the five most recent and five oldest linked articles for the longest of the history peri ...

updates, corrections) share the same PNAC (as well as story date/time). It can be used to see which article follows a set of ale ...

1.A.2 Details of RavenPack News Analytics—Dow Jones Edition: Equity coverage and available data (i) Coverage Real-time and histo ...

ISIN:An International Securities Identification Number (ISIN) to identify the company referenced in a story. The ISINs used are ...

that generates a score range between 0 and 100 where higher values indicate more positive sentiment while values below 50 show n ...