Forecasting financial market volatility using a dynamic topic model

DOI10.1007/S10690-017-9228-ZMaRDI QIDQ1627814zbMATH OpenOpenAlexFDO

Authors Takayuki Morimoto, Yoshinori Kawasaki

Publication date 3 December 2018

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-017-9228-z

zbMATH Keywords

forecastingbig datarealized volatilitytime series modelsdynamic topic modelonline newstopic score

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• 10.1162/jmlr.2003.3.4-5.993
• Data-based ranking of realised volatility estimators
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Exploiting the errors: a simple approach for improved volatility forecasting
• Handbook of Volatility Models and Their Applications
• Realized Volatility: A Review
• Robust ranking of multivariate GARCH models by problem dimension

Cited in

(12)

• Research on stock market forecast based on social emotion data mining
• Time series forecasting using functional partial least square regression with stochastic volatility, GARCH, and exponential smoothing
• Scheduled macroeconomic news announcements and forex volatility forecasting
• Analyzing Firm Reports for Volatility Prediction: A Knowledge-Driven Text-Embedding Approach
• On stock volatility forecasting based on text mining and deep learning under high-frequency data
• A big data approach to analyzing market volatility
• News and narratives in financial systems: exploiting big data for systemic risk assessment
• Term structure models during the global financial crisis: a parsimonious text mining approach
• Forecasting Unemployment Using Internet Search Data via PRISM
• Extracting predictive information from heterogeneous data streams using Gaussian processes
• A commonsense knowledge-enabled textual analysis approach for financial market surveillance
• To what extent can new web-based technology improve forecasts? Assessing the economic value of information derived from virtual globes and its rate of diffusion in a financial market

Describes a project that uses

Uses Software

• OptiRisk

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