COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS
COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS
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DOI：
10.1142/s0219024915500430
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发表时间：
2015-11-01
影响因子：
0.5
通讯作者：
Vodenska, Irena
中科院分区：
文献类型：
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作者：
Curme, Chester;Stanley, H. Eugene;Vodenska, Irena
我们分析了2002 - 2012年40个国家每日金融新闻情绪与金融市场指数收益率之间滞后相关性的网络结构。使用谱方法，我们将网络分解成二部子结构，并表明这些子结构与预测模型的性能有关，桥接网络理论和时间序列分析的概念。我们的研究结果表明，在日常水平上，金融市场之间的内生影响压倒了新闻媒体的外生影响，金融新闻情绪的变化对市场走势的反应比它们对市场走势的驱动更大。
We analyze the network structure of lagged correlations among daily financial news sentiments and returns of financial market indices of 40 countries from 2002 to 2012. Using a spectral method, we decompose the network into bipartite sub-structures, and show that these sub-structures are relevant to the performance of prediction models, bridging concepts from network theory and time series analysis. Our results suggest that, at the daily level, endogenous influences among financial markets overwhelm exogenous influences of news outlets, and that changes in financial news sentiments respond to market movements more substantially than they drive them.