Predicting Stock Price Volatility by Analyzing Semantic Content in Media.
(2014) In Working Paper / Department of Economics, School of Economics and Management, Lund University- Abstract
- Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the conventional models. We also analyze the functional role of text in media either as a passive documentation of past information flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may take both roles.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4814733
- author
- Asgharian, Hossein LU and Sikström, Sverker LU
- organization
- publishing date
- 2014
- type
- Working paper/Preprint
- publication status
- published
- subject
- keywords
- latent semantic analysis, information flow, volatility, GARCH
- in
- Working Paper / Department of Economics, School of Economics and Management, Lund University
- issue
- 38
- pages
- 43 pages
- publisher
- Department of Economics, Lund University
- language
- English
- LU publication?
- yes
- id
- 33dc9e07-bb62-446e-8101-bf912c1c8b29 (old id 4814733)
- alternative location
- http://swopec.hhs.se/lunewp/abs/lunewp2014_038.htm
- date added to LUP
- 2016-04-04 10:09:12
- date last changed
- 2019-03-08 02:31:51
@misc{33dc9e07-bb62-446e-8101-bf912c1c8b29, abstract = {{Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the conventional models. We also analyze the functional role of text in media either as a passive documentation of past information flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may take both roles.}}, author = {{Asgharian, Hossein and Sikström, Sverker}}, keywords = {{latent semantic analysis; information flow; volatility; GARCH}}, language = {{eng}}, note = {{Working Paper}}, number = {{38}}, publisher = {{Department of Economics, Lund University}}, series = {{Working Paper / Department of Economics, School of Economics and Management, Lund University}}, title = {{Predicting Stock Price Volatility by Analyzing Semantic Content in Media.}}, url = {{http://swopec.hhs.se/lunewp/abs/lunewp2014_038.htm}}, year = {{2014}}, }