The Handbook of News Analytics in Finance

Index

abnormal market conditions 320–321

abnormal returns 147–244

attention-based buying 173–210

news analytics relation 149–172

news flow impact 211–230

sentiment reversals 231–244

absolute returns 276, 279

accounting-related news 214–215, 221, 223

accuracy, algorithms 62–63

acquisitions 131–132, 145, 215, 303

active portfolio managers 19–20

Adaptive Market Hypothesis (AMH) 20

adjacency matrices 60

adjective–adverb phrase classifier 12, 57

ADRs (American depository receipts) 179

advertising 178

aggregation 130–131, 133, 153–158

performance 64–67

risk management framework 317

sentiment and 63, 302–303

AGG_SCORE 303

agriculture study 84–85

AI see artificial intelligence

algorithms 45–62

accuracy 62–63

classification 50–52, 54–59, 68–69

community detection 61–62, 67–68

confusion matrix 62

data mining 69

dictionary-based 57–58, 216–217

Media Sentiment® system 123

real-time risks/returns 79–82

trading strategies 307–310

aliasing 324

alpha-generating signals 24, 149, 153, 309–310

alpha-generating strategies 20

alphas for buying 204–206

ambiguity filters 58–59

American depository receipts (ADRs) 179

American Stock Exchange (ASE) 181–182, 195, 199–200, 204–205

AMERITRADE system 123–127

AMH see Adaptive Market Hypothesis

analyst revisions 221–224

see also revisions …

analyst role 211–212, 225

analytic data 312

announcements 249–250, 275, 292

see also earnings announcements; information

annualized units, risk 248

anticipatory behavior 249

APARCH models 256–258, 264

Apple iPhone 115

Arbitrage ...