Impact of News Events on the Financial Markets
published: Dec. 8, 2017, recorded: October 2017, views: 979
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
In this work we investigate how news events can be used to predict the financial markets. Namely we built a time series model that includes features obtained from the news and investigated whether the changes in volume of traded shares can be predicted more accurately with this information. The time series model that was built is of an ARMA-GARCH type, because we wanted to account for any clustering of the volatility that is normal for the financial markets. The models were evaluated with the Akaike and Bayesian Information Criterion, while also being compared to the base-line model that did not include any features from the news. Overall our results show that there is an improvement in the model when the information from the news is used and hence show a promising avenue for future research work.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !