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Cohesiveness in financial news and its relation to market volatility

Piškorec, Matija; Antulov-Fantulin, Nino; Kralj Novak, Petra; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc, Tomislav (2014) Cohesiveness in financial news and its relation to market volatility. Scientific Reports, 4 . 5038/1-5038/8. ISSN 2045-2322

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Abstract

Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

Item Type: Article
Uncontrolled Keywords: complex systems; market voatility; financial news
Subjects: SOCIAL SCIENCES > Information and Communication Sciences
Divisions: Center for Informatics and Computing
Projects:
Project titleProject leaderProject codeProject type
Machine learning algorithms and their application (Algoritmi strojnog učenja i njihova primjena)-Dragan Gamberger098-0982560-2563MZOS
Forecasting Financial Crises-FOC-IIUNSPECIFIED255987FP7
Foundational Research on MULTIlevel comPLEX networks and systems-MULTIPLEXUNSPECIFIED317532FP7
FOC INCOUNSPECIFIED297149FP7
Depositing User: Vedran Peruničić
Date Deposited: 29 Jan 2016 12:45
Last Modified: 02 Feb 2016 08:05
URI: http://fulir.irb.hr/id/eprint/2438
DOI: 10.1038/srep05038

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