Predictable markets? A news-driven model of the stock market

Predictable markets? A news-driven model of the stock market

We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We...

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Hauptverfasser: Gusev, Maxim, Kroujiline, Dimitri, Govorkov, Boris, Sharov, Sergey V, Ushanov, Dmitry, Zhilyaev, Maxim
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Physics - Physics and Society
Quantitative Finance - General Finance
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creator Gusev, Maxim
Kroujiline, Dimitri
Govorkov, Boris
Sharov, Sergey V
Ushanov, Dmitry
Zhilyaev, Maxim
description We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We demonstrate that this model replicates observed market behavior on all relevant timescales (from days to years) reasonably well. Using the model, we obtain and discuss a number of results that pose implications for current market theory and offer potential practical applications.
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subjects Physics - Physics and Society
Quantitative Finance - General Finance
title Predictable markets? A news-driven model of the stock market
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