Advanced Search
MyIDEAS: Login to save this paper or follow this series

Predicting Stock Price Volatility by Analyzing Semantic Content in Media

Contents:

Author Info

  • Asgharian, Hossein

    ()
    (Department of Economics and Knut Wicksell Centre for Financial Studies, Lund University)

  • Sikström, Sverker

    (Department of Psychology, Lund University)

Abstract

Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that future stock volatility is better predicted by our method than the conventional models. We also analyze the functional role of text in media either as a passive documentation of past information flow or as an active source for new information influencing future volatility. Our data suggest that semantic content may take both roles.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.lusem.lu.se/media/kwc/working-papers/kwc-wp-2013-16.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Niclas Andrén) or (Frederik Lundtofte)
Download Restriction: no

Bibliographic Info

Paper provided by Knut Wicksell Centre for Financial Studies, Lund University in its series Knut Wicksell Working Paper Series with number 2013/16.

as in new window
Length: 43 pages
Date of creation: 13 Sep 2013
Date of revision:
Handle: RePEc:hhs:luwick:2013_016

Contact details of provider:
Postal: Knut Wicksell Centre for Financial Studies, Lund University School of Economics and Management, P.O. Box 7080, S-220 07 Lund, Sweden
Phone: +46 46-222 32 61
Fax: +46 46-222 34 06
Web page: http://www.lusem.lu.se/kwc
More information through EDIRC

Related research

Keywords: volatility; information flow; latent semantic analysis; GARCH;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, Elsevier, vol. 69(2), pages 367-391, October.
  2. Brailsford, Timothy J. & Faff, Robert W., 1996. "An evaluation of volatility forecasting techniques," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(3), pages 419-438, April.
  3. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, Elsevier, vol. 31(3), pages 307-327, April.
  5. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, Econometric Society, vol. 47(2), pages 263-91, March.
  6. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 62(1), pages 55-80, January.
  7. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
  8. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0169, National Bureau of Economic Research, Inc.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:hhs:luwick:2013_016. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Niclas Andrén) or (Frederik Lundtofte).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.