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Quantitative Finance Volume 9, 2009 - Issue 8

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Equity portfolio risk estimation using market information and sentiment

Leela Mitra CARISMA (Centre for Analysis of Risk and Optimisation Modelling Applications), Brunel University, Uxbridge, UB8 3PH, UK; OptiRisk Systems, OptiRisk R&D House, One Oxford Road, Uxbridge, Middlesex, UB9 4DA, UKCorrespondence[email protected]

Gautam Mitra CARISMA (Centre for Analysis of Risk and Optimisation Modelling Applications), Brunel University, Uxbridge, UB8 3PH, UK; OptiRisk Systems, OptiRisk R&D House, One Oxford Road, Uxbridge, Middlesex, UB9 4DA, UK

Dan Dibartolomeo¶ Northfield Information Services, Inc., 184 High Street, Boston, MA 02110, USAView further author information

Pages 887-895 | Received 14 Nov 2008, Accepted 26 Oct 2009, Published online: 09 Dec 2009

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https://doi.org/10.1080/14697680903448361

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David E. Allen, Michael McAleer & Abhay K. Singh. (2019) Daily market news sentiment and stock prices. Applied Economics 51:30, pages 3212-3235.
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David E Allen, Michael McAleer & Abhay K Singh. (2017) An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series. Applied Economics 49:7, pages 677-692.
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Thanos Konstantinidis, Maya Golan, Yao Lei Xu, Tony G. Constantinides & Danilo P. Mandic. (2023) Text Mining for Sentiment Analysis in Bond Portfolio Construction. Text Mining for Sentiment Analysis in Bond Portfolio Construction.

David E. Allen & Michael McAleer. (2022) Trump’s COVID-19 tweets and Dr. Fauci’s emails. Scientometrics 127:3, pages 1643-1655.
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Yen-Ju Hsu, Yang-Cheng Lu & J. Jimmy Yang. (2021) News sentiment and stock market volatility. Review of Quantitative Finance and Accounting 57:3, pages 1093-1122.
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Tom Marty, Bruce Vanstone & Tobias Hahn. (2019) News media analytics in finance: a survey. Accounting & Finance 60:2, pages 1385-1434.
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David E. Allen & Michael McAleer. (2019) Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany. Sustainability 11:19, pages 5181.
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Zryan A Sadik, Paresh M Date & Gautam Mitra. (2019) News augmented GARCH(1,1) model for volatility prediction. IMA Journal of Management Mathematics 30:2, pages 165-185.
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Christina Erlwein-Sayer. (2018) Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds. Risks 6:4, pages 141.
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Qiang Song, Anqi Liu & Steve Y. Yang. (2017) Stock portfolio selection using learning-to-rank algorithms with news sentiment. Neurocomputing 264, pages 20-28.
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Steve Y. Yang, Sheung Yin Kevin Mo, Anqi Liu & Andrei A. Kirilenko. (2017) Genetic programming optimization for a sentiment feedback strength based trading strategy. Neurocomputing 264, pages 29-41.
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Stefan Feuerriegel & Helmut Prendinger. (2016) News-based trading strategies. Decision Support Systems 90, pages 65-74.
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Qiang Song, Anqi Liu, Steve Y. Yang, Anil Deane & Kaushik Datta. (2015) An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy. An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy.

David E. Allen, Michael J. McAleer & Abhay K. Singh. 2015. The Handbook of High Frequency Trading. The Handbook of High Frequency Trading 327 344 .

Pekka Malo, Ankur Sinha, Pekka Korhonen, Jyrki Wallenius & Pyry Takala. (2014) Good debt or bad debt: Detecting semantic orientations in economic texts. Journal of the Association for Information Science and Technology 65:4, pages 782-796.
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Dan diBartolomeo. 2011. The Handbook of News Analytics in Finance. The Handbook of News Analytics in Finance 245 254 .

Leela Mitra & Gautam Mitra. 2011. The Handbook of News Analytics in Finance. The Handbook of News Analytics in Finance 1 39 .

Gautam Mitra, Dina Baigurmanova & Shrey Jhunjhunwala. (2020) The New Landscape of Financial Markets: Participants and Asset Classes. SSRN Electronic Journal.
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Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle & Tilman Sayer. (2020) An Impact Measure for News: It's Use in (Daily) Trading Strategies. SSRN Electronic Journal.
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David Edmund Allen & Michael McAleer. (2019) Fake News and Propaganda: Trump's Democratic America and Hitler's National Socialist (Nazi) Germany. SSRN Electronic Journal.
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Peter Deeney, Mark Cummins, Michael M. Dowling & Alan Smeaton. (2018) Negativity Bias in the European Emissions Market: Evidence from High-Frequency Twitter Sentiment. SSRN Electronic Journal.
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David E. Allen, Michael McAleer & David McHardy Reid. (2018) Fake News and Indifference to Truth: Dissecting Tweets and State of the Union Addresses by Presidents Obama and Trump. SSRN Electronic Journal.
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Mark Cummins & Alan Smeaton. (2016) Sentiment Effects in the European Emissions Market. SSRN Electronic Journal.
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Qiang Song, Anqi Liu, Steve Y. Yang, Anil Deane & Kaushik Datta. (2015) An Extreme Firm-Specific News Sentiment Asymmetry Based Trading Strategy. SSRN Electronic Journal.
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Gautam Mitra, Dan di Bartolomeo, Ashok Banerjee & Xiang Yu. (2015) Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading. SSRN Electronic Journal.
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Xiang Yu, Gautam Mitra & Keming Yu. (2013) Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-Day Setting. SSRN Electronic Journal.
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Equity portfolio risk estimation using market information and sentiment

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Equity portfolio risk estimation using market information and sentiment

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