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Publication . Article . 2018

Assessing news contagion in finance

Paola Cerchiello; Giancarlo Nicola;
Open Access
English
Published: 03 Feb 2018
Publisher: Basel: MDPI
Abstract

The analysis of news in the financial context has gained a prominent interest in the last years. This is because of the possible predictive power of such content especially in terms of associated sentiment/mood. In this paper, we focus on a specific aspect of financial news analysis: how the covered topics modify according to space and time dimensions. To this purpose, we employ a modified version of topic model LDA, the so-called Structural Topic Model (STM), that takes into account covariates as well. Our aim is to study the possible evolution of topics extracted from two well known news archive—Reuters and Bloomberg—and to investigate a causal effect in the diffusion of the news by means of a Granger causality test. Our results show that both the temporal dynamics and the spatial differentiation matter in the news contagion.

Subjects by Vocabulary

Dewey Decimal Classification: ddc:330

Library of Congress Subject Headings: lcsh:Economics as a science lcsh:HB71-74

Microsoft Academic Graph classification: Financial news Predictive power Context (language use) Economics Finance business.industry business Causal effect Topic model Granger causality Focus (linguistics) Covariate

Subjects

C83, C12, E58, E61, G02, G14, behavioural finance, financial news, structural topic model, granger causality, behavioural finance; financial news; structural topic model; granger causality, behavioural finance, financial news, structural topic model, granger causality, Economics and Econometrics

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Econometrics
Article . 2018
Providers: DOAJ-Articles
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