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AN INVESTIGATION INTO USING NEWS ANALYTICS DATA IN VOLATILITY MODELS - Tapa blanda

Sidorov, Sergei; Balash, Vladimir

 
9781470926120: AN INVESTIGATION INTO USING NEWS ANALYTICS DATA IN VOLATILITY MODELS
Tapa blanda
ISBN 10: 1470926121 ISBN 13: 9781470926120
Editorial: Lulu.com, 2011

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Editorial
Lulu.com
Año de publicación
2011
Idioma
Inglés
ISBN 10 
1470926121
ISBN 13 
9781470926120
Encuadernación
Tapa blanda
Número de páginas
164
Contacto del fabricante
no disponible
Persona responsable
HACHETTE LIVRE SA
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