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The Handbook of News Analytics in Finance by Leela Mitra, Gautam Mitra

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3.B REFERENCES

Antweiler W.; Frank M. (2004) “Is all that talk just noise? The information content of internet stock message boards,” Journal of Finance, 59, 1259–1294.

Bauwens L.; Ben Omrane W.; Giot P. (2005) “News announcements, market activity and volatility in the euro/dollar foreign exchange market,” Journal of International Money and Finance, 24, 1108–1125.

Berry T.; Howe K. (1994) “Public information arrival,” Journal of Finance, 49, 1331–1346.

Campbell J.; Lo A.; MacKinlay C. (1997) The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ.

Chan W. (2003) “Stock price reaction to news and no-news: Drift and reversal after headlines,” Journal of Financial Economics, 70, 223–260.

Cormen T.; Leiserson C.; Rivest R.; Stein C. (2001) Introduction to Algorithms, MIT Press/McGraw-Hill Book Company, Cambridge/New York.

Dacorogna M.; Gencay R.; Müller U.; Olsen R.; Pictet O. (2001) An Introduction to High-Frequency Finance, Academic Press, San Diego.

Daniel K.; Hirshleifer D.; Subrahmanyam A. (1998) “Investor psychology and security market under- and overreactions,” Journal of Finance, 53, 1839–1885.

Das S.; Martinez-Jerez F.; Tufano P. (2005) “eInformation: A clinical study of investor discussion and sentiment,” Financial Management, 34, 103–137.

Dominguez K.; Panthaki F. (2006) “What defines ‘news’ in foreign exchange markets?” Journal of International Money and Finance, 25, 168–198.

Engle R.; Ng V. (1993) “Measuring and testing the impact of news on volatility,” ...

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