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Predicting stock market volatility based on textual sentiment: A nonlinear analysis

Citations

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Cited by:

  1. Ren, Tingting & Li, Shaofang, 2025. "Stock market forecasting based on machine learning: The role of investor sentiment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 666(C).
  2. Tang, Zhenpeng & Lin, Qiaofeng & Cai, Yi & Chen, Kaijie & Liu, Dinggao, 2024. "Harnessing the power of real-time forum opinion: Unveiling its impact on stock market dynamics using intraday high-frequency data in China," International Review of Financial Analysis, Elsevier, vol. 93(C).
  3. Shengkun Wang & Taoran Ji & Jianfeng He & Mariam Almutairi & Dan Wang & Linhan Wang & Min Zhang & Chang-Tien Lu, 2024. "AMA-LSTM: Pioneering Robust and Fair Financial Audio Analysis for Stock Volatility Prediction," Papers 2407.18324, arXiv.org.
  4. Shahzeb Khan,Zawar Ahmed Khan,Saif Ur Rehman,Arbab Masood Ahmad, 2025. "Design and Implementation of a Multi-Strategy Algorithmic Trading Bot," International Journal of Innovations in Science & Technology, 50sea, vol. 7(3), pages 1533-1541, July.
  5. Xue Gong & Weiguo Zhang & Yuan Zhao & Xin Ye, 2023. "Forecasting stock volatility with a large set of predictors: A new forecast combination method," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1622-1647, November.
  6. Song, Ziyu & Gong, Xiaomin & Zhang, Cheng & Yu, Changrui, 2023. "Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 528-545.
  7. Liu, Zhenhua & Chen, Shumin & Zhong, Hongyu & Ding, Zhihua, 2024. "Coal price shocks, investor sentiment, and stock market returns," Energy Economics, Elsevier, vol. 135(C).
  8. Yang, Kun & Cheng, Zishu & Li, Mingchen & Wang, Shouyang & Wei, Yunjie, 2024. "Fortify the investment performance of crude oil market by integrating sentiment analysis and an interval-based trading strategy," Applied Energy, Elsevier, vol. 353(PA).
  9. Xue Gong & Weiguo Zhang & Weijun Xu & Zhe Li, 2022. "Uncertainty index and stock volatility prediction: evidence from international markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-44, December.
  10. Jiang, Zhe & Zhang, Lin & Zhang, Lingling & Wen, Bo, 2022. "Investor sentiment and machine learning: Predicting the price of China's crude oil futures market," Energy, Elsevier, vol. 247(C).
  11. Aziz Ullah & He Biao & Assad Ullah, 2024. "Unveiling the Nexus Between Crises, Investor Sentiment, and Volatility of Tourism-Related Stocks: Empirical Findings From Pakistan," SAGE Open, , vol. 14(3), pages 21582440241, August.
  12. Gaies, Brahim & Nakhli, Mohamed Sahbi & Ayadi, Rim & Sahut, Jean-Michel, 2022. "Exploring the causal links between investor sentiment and financial instability: A dynamic macro-financial analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 204(C), pages 290-303.
  13. Fang, Guobin & Zhou, Xuehua & Ma, Huimin & Zhao, XiaoFang & Deng, YaoXun & Xie, Luoyan, 2025. "Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 76(C).
  14. Anurag Kulshrestha & Abhishek Yadav & Himanshu Sharma & Shikha Suman, 2024. "A deep learning‐based multivariate decomposition and ensemble framework for container throughput forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2685-2704, November.
  15. Li, Xiaodan & Gong, Xue & Ge, Futing & Huang, Jingjing, 2024. "Forecasting stock volatility using pseudo-out-of-sample information," International Review of Economics & Finance, Elsevier, vol. 90(C), pages 123-135.
  16. Vasiliki Skintzi & Stavroula P. Fameliti, 2025. "Combining realized volatility estimators based on economic performance," Journal of Asset Management, Palgrave Macmillan, vol. 26(7), pages 819-846, December.
  17. Cai Yang & Mohammad Zoynul Abedin & Hongwei Zhang & Futian Weng & Petr Hajek, 2025. "An interpretable system for predicting the impact of COVID-19 government interventions on stock market sectors," Annals of Operations Research, Springer, vol. 347(2), pages 1031-1058, April.
  18. Shuihan Liu & Gang Xie, 2026. "A Novel Decomposition‐Ensemble Approach for Forecasting Stock Price With Quantum Neural Network and Big Data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(1), pages 391-414, January.
  19. Yi‐Shuai Ren & Tony Klein & Ngoc Quang Anh Huynh & Xukang Liu, 2026. "Is the Stock Market Performance Vulnerable to the Russian–Ukrainian War? Evidence From the Twitter Sentiment Index," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 31(1), pages 1444-1471, January.
  20. Xiaohong Shen & Gaoshan Wang & Yue Wang & Alfred Peris, 2021. "The Influence of Research Reports on Stock Returns: The Mediating Effect of Machine-Learning-Based Investor Sentiment," Discrete Dynamics in Nature and Society, Hindawi, vol. 2021, pages 1-14, December.
  21. Chu, Xiaojun & Wan, Xinmin & Qiu, Jianying, 2023. "The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
  22. Gong, Xue & Ye, Xin & Zhang, Weiguo & Zhang, Yue, 2023. "Predicting energy futures high-frequency volatility using technical indicators: The role of interaction," Energy Economics, Elsevier, vol. 119(C).
  23. Mubeen Abdur Rehman & Saeed Ahmad Sabir & Muhammad Zahid Javed & Haider Mahmood, 2024. "The Connectedness Knowledge from Investors’ Sentiments, Financial Crises, and Trade Policy: An Economic Perspective," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(4), pages 20038-20062, December.
  24. Yu, Xing & Li, Yanyan & Gong, Xue & Zhang, Nan, 2022. "Evaluating the performance of futures hedging using factors-driven realized volatility," International Review of Financial Analysis, Elsevier, vol. 84(C).
  25. Gong, Xue & Zhang, Weiguo & Wang, Junbo & Wang, Chao, 2022. "Investor sentiment and stock volatility: New evidence," International Review of Financial Analysis, Elsevier, vol. 80(C).
  26. Nick Taylor, 2026. "Optimal Variance Forecasting in a Trading Context," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(2), pages 733-748, March.
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