AN INVESTIGATION INTO USING NEWS ANALYTICS DATA IN VOLATILITY MODELS - Brossura

Sidorov, Sergei; Balash, Vladimir

 
9781470926120: AN INVESTIGATION INTO USING NEWS ANALYTICS DATA IN VOLATILITY MODELS
Brossura
ISBN 10: 1470926121 ISBN 13: 9781470926120
Casa editrice: Lulu.com, 2011

Sinossi

Many investment companies in the U.S. and Europe have been using news analytics to improve the quality of its business. Interest in news analytics is related to the ability to predict changes of prices, volatility and trading volume on the stock market. We consider different volatility models augmented with news analytics data to examine the impact of news intensity on stock volatility. The study shows that the problem of examining the impact of news intensity on volatility is far more involveed than it might seem at first sight. The study shows that the addition of news intensity or contemporaneous trading volume increases the explanatory power of standard models. The augmented models illustrated here show potential for more accurate prediction of volatility which, in turn, can lead to better risk management.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Editore
Lulu.com
Data di pubblicazione
2011
Lingua
Inglese
ISBN 10 
1470926121
ISBN 13 
9781470926120
Rilegatura
Copertina flessibile
Numero di pagine
164
Contatto del produttore
non disponibile
Persona responsabile
HACHETTE LIVRE SA
https://www.hachette.fr/

1 AVENUE GUTENBERG
MAUREPAS CEDEX
78319
Francia