- Autori:
-
Moreno-Pérez, Carlos; Minozzo, Marco
- Titolo:
-
Natural language processing and financial markets: semi-supervised modelling of Coronavirus and economic news
- Anno:
-
2024
- Tipologia prodotto:
-
Articolo in Rivista
- Tipologia ANVUR:
- Articolo su rivista
- Lingua:
-
Inglese
- Formato:
-
A Stampa
- Referee:
-
Sì
- Nome rivista:
- ADVANCES IN DATA ANALYSIS AND CLASSIFICATION
- ISSN Rivista:
- 1862-5347
- Intervallo pagine:
-
1-25
- Parole chiave:
-
COVID-19, EGARCH, Latent Dirichlet Allocation, investor attention, uncertainty indices, Word Embedding
- Breve descrizione dei contenuti:
- This paper investigates the reactions of US financial markets to press news from January 2019 to 1 May 2020. To this end, we deduce the content and uncertainty of the news by developing apposite indices from the headlines and snippets of The New York Times, using unsupervised machine learning techniques. In particular, we use Latent Dirichlet Allocation to infer the content (topics) of the articles, and Word Embedding (implemented with the Skip-gram model) and K-Means to measure their uncertainty. In this way, we arrive at the definition of a set of daily topic-specific uncertainty indices. These indices are then used to find explanations for the behaviour of the US financial markets by implementing a batch of EGARCH models. In substance, we find that two topic-specific uncertainty indices, one related to COVID-19 news and the other to trade war news, explain the bulk of the movements in the financial markets from the beginning of 2019 to end-April 2020. Moreover, we find that the topic-specific uncertainty index related to the economy and the Federal Reserve is positively related to the financial markets, meaning that our index is able to capture actions of the Federal Reserve during periods of uncertainty.
- Id prodotto:
-
135892
- Handle IRIS:
-
11562/1111426
- ultima modifica:
-
22 novembre 2024
- Citazione bibliografica:
-
Moreno-Pérez, Carlos; Minozzo, Marco,
Natural language processing and financial markets: semi-supervised modelling of Coronavirus and economic news
«ADVANCES IN DATA ANALYSIS AND CLASSIFICATION»
,
2024
,
pp. 1-25
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