The Wiley Finance Series : Handbook of News Analytics in Finance

The Handbook of News Analytics in Finance Edited by L. Mitra and G. Mitra 2011 John Wiley & Sons Alexander D. Healy and Andr ...

because of its heterogeneity and velocity. If we cannot measure it, we cannot manage it, and text-based news is hard to quantify ...

More recently, papers by Antweiler and Frank (2004), Das, Martinez-Jerez, and Tufano (2005), Tetlock (2007), and Leinweber and S ...

manner and reflect the most current news. The machine-readable Thomson Reuters NewsScope feed is updated on a subsecond basis, a ...

tick time periods). We note that the relationship between squared 5-second returns and the realized volatility over the period½t ...

For a given topic, say foreign exchange news, the scoring procedure has the following parameters: .A list of keywords/key phrase ...

The score at a given point in time,t, is assigned in an analogous way. Letðw 1 ;...;wkÞbe the vector of topic code frequencies i ...

80 Quantifying news: Alternative metrics Table 3.1.Base indices of the Thomson Reuters NewsScope Event Indices family Base index ...

Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices 81 Base index Description RCH Broker research ...

The approach we take is to build a data structure that allows for efficiently inserting new scores, removing old scores (after t ...

The first is the time-series oflog returns, denotedfrigi. Since we only have banks’ quote data, this series is derived by taking ...

volatility around the time of the events, which are defined by spikes in our index. Also, average volatility in the post-event w ...

at-test (see Section 3.5.3) establishes that this increase is indeed statistically significant, meaning that our agriculture ind ...

86 Quantifying news: Alternative metrics Table 3.2. t-statistics for the significance of each Thomson Reuters NewsScope Event In ...

Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices 87 Major news topics 3.5 6.7 5.5 6.8 7.6 1.9 3 ...

In a classicalt-test, thet-statistic is distributed according to Student’st-distribution, and thusis large enough to be statist ...

3.5.5 The^2 test for goodness of fit Another test for changes between pre-event returns/volatility and post-event returns/ vola ...

Event indices vs. implied volatilities As demonstrated in Section 3.5, times with the top event index values tend to forecast in ...

In light of the contrasting performance of the event studies for realized volatility and implied volatility, we study the differ ...

3.6.2 Implied volatility events Abrupt changes in the 1-month implied volatility reflect a change in the market’s beliefs about ...