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Pregled bibliografske jedinice broj: 755826

Cohesiveness in Financial News and its Relation to Market Volatility


Piškorec, Matija; Antulov-Fantulin, Nino; Kralj Novak, Petra; Mozetič, Igor; Grčar, Miha; Vodenska, Irena; Šmuc Tomislav
Cohesiveness in Financial News and its Relation to Market Volatility // Scientific Reports, 4 (2014), 5038-1 doi:10.1038/srep05038 (međunarodna recenzija, članak, znanstveni)


Naslov
Cohesiveness in Financial News and its Relation to Market Volatility

Autori
Piškorec, Matija ; Antulov-Fantulin, Nino ; Kralj Novak, Petra ; Mozetič, Igor ; Grčar, Miha ; Vodenska, Irena ; Šmuc Tomislav

Izvornik
Scientific Reports (2045-2322) 4 (2014); 5038-1

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
Complex systems ; market voatility ; financial news

Sažetak
Motivated by recent financial crises, significant research efforts have been put into studying contagion effects and herding behaviour in financial markets. Much less has been said regarding the influence of financial news on financial markets. We propose a novel measure of collective behaviour based on financial news on the Web, the News Cohesiveness Index (NCI), and we demonstrate that the index can be used as a financial market volatility indicator. We evaluate the NCI using financial documents from large Web news sources on a daily basis from October 2011 to July 2013 and analyse the interplay between financial markets and finance-related news. We hypothesise that strong cohesion in financial news reflects movements in the financial markets. Our results indicate that cohesiveness in financial news is highly correlated with and driven by volatility in financial markets.

Izvorni jezik
Engleski

Znanstvena područja
Računarstvo, Informacijske i komunikacijske znanosti



POVEZANOST RADA


Ustanove
Institut "Ruđer Bošković", Zagreb

Časopis indeksira:


  • Web of Science Core Collection (WoSCC)
    • Science Citation Index Expanded (SCI-EXP)
    • SCI-EXP, SSCI i/ili A&HCI
  • Scopus
  • MEDLINE


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