Can the content of public news be used to forecast abnormal stock market behaviour?

Robertson, Calum S., Geva, Shlomo and Wolff, Rodney C. (2007). Can the content of public news be used to forecast abnormal stock market behaviour?. In: Naren Ramakrishnan, Osmar R. Zaïane, Yong Shi, Christopher W. Clifton and Xindong Wu, Proceedings of the Seventh IEEE International Conference on Data Mining: ICDM 2007. ICDM 2007: 7th IEEE International Conference on Data Mining, Omaha, NE, USA, (637-642). 28-31 October, 2007. doi:10.1109/ICDM.2007.74


Author Robertson, Calum S.
Geva, Shlomo
Wolff, Rodney C.
Title of paper Can the content of public news be used to forecast abnormal stock market behaviour?
Conference name ICDM 2007: 7th IEEE International Conference on Data Mining
Conference location Omaha, NE, USA
Conference dates 28-31 October, 2007
Proceedings title Proceedings of the Seventh IEEE International Conference on Data Mining: ICDM 2007   Check publisher's open access policy
Journal name Proceedings of the IEEE International Conference on Data Mining   Check publisher's open access policy
Place of Publication Los Alamitos, CA, USA
Publisher IEEE Computer Society
Publication Year 2007
Sub-type Fully published paper
DOI 10.1109/ICDM.2007.74
Open Access Status
ISBN 9780769530185
0769530184
9781424430314
ISSN 1550-4786
Editor Naren Ramakrishnan
Osmar R. Zaïane
Yong Shi
Christopher W. Clifton
Xindong Wu
Start page 637
End page 642
Total pages 6
Language eng
Formatted Abstract/Summary
A popular theory of markets is that they are efficient: all available information is deemed to provide an accurate valuation of an asset at any time. In this paper, we consider how the content of market- related news articles contributes to such information. Specifically, we mine news articles for terms of interest, and quantify this degree of interest. We then incorporate this measure into traditional models for market index volatility with a view to forecasting whether the incidence of interesting news is correlated with a shock in the index, and thus if the information can be captured to value the underlying asset. We illustrate the methodology on stock market indices for the USA, the UK, and Australia.
Keyword Stock markets
Document Classification
Text processing (Computer science)
Q-Index Code E1
Q-Index Status Provisional Code
Institutional Status UQ

 
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Created: Tue, 17 Jun 2014, 15:52:44 EST by Rodney Wolff on behalf of School of Economics