Public Information Arrival and Volatility of Intraday Stock Returns

By P. Kalev, Wai-Man Liu, Peter K. Pham, Elvis Jarnecic. 2004

251 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/164bfc78a9c547963a06426f28ae784ac1968321

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Alexandre d'Aspremont
2. Jacob Zahavi
3. Ronny Luss
4. Tomer Geva
5. Mathias Kraus
6. Stefan Feuerriegel

In Finance

1. Alexandre d'Aspremont
2. Jacob Zahavi
3. Ronny Luss
4. Tomer Geva
5. Xiao Ding
6. Junwen Duan
7. Ting-Wei Liu
8. Mathias Kraus

Citations in the corpus

• Empirical evaluation of an automated intraday stock recommendation system incorporating both market data and textual news (2014, background): “While historical market information is relatively simple to obtain and process, the downside is that it practically ignores news concerning real-world events such as: mergers and acquisitions, dividends, interim results, analyst upgrades or downgrades, changes in management, and others—whichhave bee”
• Predicting abnormal returns from news using text classification (2008, methodology): “Keywords: Forecasting applications; Optimization; Pattern recognition; Statistical learning theory; Text classification JEL Classification: C4, C6, C44, C45, C61”