The Wiley Finance Series : Handbook of News Analytics in Finance

106 Quantifying news: Alternative metrics

Table 3.A.2(cont.)

(c) Alerts by group

Alerts Mon. Tues. Wed. Thurs. Fri. Sat. Sun. Week- Week- All
day end

Minimum 37 565 50 38 299 1 13 1,992 42 2,093
5% 713 1,179 1,301 1,241 615 20 23 6,032 58 6,029
Mean 1,565 2,084 2,222 2,516 1,513 70 75 9,982 145 10,212
Median 1,466 1,945 2,010 2,274 1,451 55 63 9,195 130 9,505
95% 2,709 3,873 3,920 4,779 2,323 200 153 17,818 309 18,321
Maximum 3,653 5,098 5,400 7,180 3,549 342 356 23,497 479 23,727

Std. dev. 619 791 885 1,108 518 55 49 3,731 74 3,801
Skewness 0.625 1.201 1.197 1.356 0.418 2.007 1.982 1.168 1.387 1.118
Kurtosis 3.550 4.697 4.833 5.671 4.181 7.635 9.364 4.658 5.401 4.520
(d) Headlines by group

Headlines Mon. Tues. Wed. Thurs. Fri. Sat. Sun. Week- Week- All
day end

Minimum 920 4,024 1,054 864 2,643 365 647 19,063 1,362 20,838
5% 5,062 6,835 6,911 6,622 5,120 813 1,030 32,243 1,880 33,864
Mean 7,165 8,074 8,204 8,460 7,466 1,046 1,283 39,473 2,330 41,854
Median 7,287 8,026 8,144 8,425 7,478 1,026 1,272 39,530 2,291 41,937
95% 9,065 9,788 9,814 10,536 9,453 1,395 1,623 47,418 2,888 49,889
Maximum 10,639 11,400 13,265 11,874 11,347 1,599 1,989 53,232 3,534 55,863

Std. dev. 1,304 1,015 1,150 1,355 1,365 182 188 5,259 318 5,492
Skewness 1.197 0.3190.885 1.3480.999 0.494 0.285 0.543 0.433 0.619
Kurtosis 6.790 5.200 11.935 9.602 6.089 4.298 4.972 4.968 4.209 5.074