Bayesian Classifiers 12 13
Bayesian news inclusion framework 252 253
bearish investors 197, 242 243
behavioral biases 18, 2021, 212
behavioral finance 150
announcements 249
attention-based buying 173 210
earnings revisions 212
NORM initiative 319 322
portfolio simulation 164
private investments 262
sentiment reversals 243
BEKK models 276, 283
benchmark relativity 316
beta 151, 166, 168
biases
behavioral 212
negative news 260 261
survivor-biased archives 233
binary search trees 82
BlackScholes options-pricing formulas 91
blogs 111 112
bonds 274
Bow Algorithm 52, 55, 56
brokerage firms 177181, 183194, 198200,
204 205
Brown, Richard 307 310
browser-based systems 121, 123
‘bubbles’ 110 111
bullish investors 197, 238, 242 243
business cycle for news flows 221, 223
business sizeseecompany size factors
buysell imbalances 181 201
buy signals 231 244
buying behavior 173 210
CAD/USD exchange rate 77
calibration
factor models 291
scores 78 79
Capital Asset Pricing Model (CAPM) 19
capitalization stocks 162163, 193, 195, 197
CARseecumulative abnormal return
Catlin, Jeff 323 325
Center for Research in Security Prices
(CRSP) 181183, 195, 199200,
204 205, 233 234
centrality 59 61
Chen, M.Y. 55 58
circuit breakers 23, 307 308
Clark, P.K. 272
classification
algorithms 5052, 5459, 68 69
errors 63
of news 214215, 313 314
by month 218
sentiment analytics 301 303
by year 218
collective investor misbehavior 20
common stocks 173, 175, 179180, 207
community detection algorithms 6162,
67 68
company aliasing 324
company information provision 211 212
company relevance 129130, 132, 137,
143 144
Company Relevance Score (CRS) 132, 137,
143
company size factors 115
company-specific news 228
competition 324 325
compliance abuse 24
computational architecture 17 18
computational experiments 297 300
computational linguistics 212, 216217, 231
computerization of scores 311
conditional heteroskedasticity models 292
see alsoARCH models; GARCH process
conditional Value at Risk (CVAR) 247
conditional volatility 279282, 284
conditioning information, risk 252
confusion matrix 62 63
content-level news analytics 45, 48, 59, 69,
323, 325
contrarian investors 174, 178
corporate news 144145, 227 228
see alsocompany...; news flows
correlations
absolute returns 276
autocorrelations 276, 279
corporate news 227 228
extreme sentiment days 166, 169
implied volatility 91
metrics 64 67
serial correlation 227228, 248, 252
short-horizon risk forecasts 248
volatility asymmetry 260, 268
covariances, risk management 151
‘crashes’ 110 111
crawlers 46 49
Credit Crisis, 2008 255, 317
CRSseeCompany Relevance Score
CRSPseeCenter for Research in Security
Prices
cumulative abnormal return (CAR) 7, 8
cumulative returns 264 266
currenciesseeforeign exchange
current news 7
CVAR (conditional Value at Risk) 247348 Index