Predictable markets? A news-driven model of the stock market

DOI10.3233/AF-150042zbMath1396.91812arXiv1404.7364MaRDI QIDQ4586443

Boris Govorkov, Dimitri Kroujiline, Maxim Zhilyaev, Dmitry Ushanov, Maxim Gusev, Sergey V. Sharov

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.7364

zbMATH Keywords

stock marketbusiness cyclenonlinear dynamical systemsvolatilitymarket dynamicsherdingreturn predictabilityIsingagent-based modelsinvestor behaviorreturn distributionprice feedbacksentiment evolutionlanguage patternsnews analysisreference sentiment level

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economics of information (91B44)

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