valuation of an asset at any time. In this paper, we consider how the content of market-related news articles contributes to … such information. Specifically, we mine news articles for terms of interest, and quantify this degree of interest. We then … incorporate this measure into traditional models for market index volatility with a view to forecasting whether the incidence of …

frequency effect of real time news, across a broad base of assets. This paper investigates how the US, UK, and Australian … markets incorporate all real time news, not just Press Announcements, Annual Reports, etc. We find that there is strong … evidence to suggest that the markets do incorporate news quickly. …

stochastic forecast model wherein the sign (positive or negative) and magnitude (strong or weak) of dependence can be separately … controlled. The integrated model demonstrates superior forecast performance over a conventional random walk. Findings ? Using … forecast accuracy of controlling for the sign of dependence between successive price changes only shows little additional …