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Equity portfolio risk estimation using market information and sentiment

Author

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  • Leela Mitra
  • Gautam Mitra
  • Dan Dibartolomeo

Abstract

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Suggested Citation

  • Leela Mitra & Gautam Mitra & Dan Dibartolomeo, 2009. "Equity portfolio risk estimation using market information and sentiment," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 887-895.
    • Handle: RePEc:taf:quantf:v:9:y:2009:i:8:p:887-895
    DOI: 10.1080/14697680903448361
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    Citations

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    Cited by:

    1. Yen-Ju Hsu & Yang-Cheng Lu & J. Jimmy Yang, 2021. "News sentiment and stock market volatility," Review of Quantitative Finance and Accounting, Springer, vol. 57(3), pages 1093-1122, October.
    2. David E. Allen & Michael McAleer & David McHardy Reid, 2018. "Fake News And Indifference To Truth: Dissecting Tweets And State Of The Union Addresses By Presidents Obama And Trump," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 180-203, December.
    3. Allen, D.E. & McAleer, M.J. & McHardy Reid, D., 2018. "Fake News and Indifference to Truth," Econometric Institute Research Papers EI2018-10, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    4. Christina Erlwein-Sayer, 2018. "Macroeconomic News Sentiment: Enhanced Risk Assessment for Sovereign Bonds," Risks, MDPI, vol. 6(4), pages 1-27, December.
    5. David E Allen & Michael McAleer & Abhay K Singh, 2017. "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series," Applied Economics, Taylor & Francis Journals, vol. 49(7), pages 677-692, February.
    6. David E. Allen & Michael McAleer, 2019. "Fake News and Propaganda: Trump’s Democratic America and Hitler’s National Socialist (Nazi) Germany," Sustainability, MDPI, vol. 11(19), pages 1-19, September.
    7. Stefan Feuerriegel & Helmut Prendinger, 2018. "News-based trading strategies," Papers 1807.06824, arXiv.org.
    8. Tom Marty & Bruce Vanstone & Tobias Hahn, 2020. "News media analytics in finance: a survey," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1385-1434, June.
    9. David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment Series," Tinbergen Institute Discussion Papers 14-014/III, Tinbergen Institute.
    10. Alpha Basweti Kenyatta & Antony Ngunyi & Anthony Gichuhi Waititu, 2020. "News Classification using Support Vector Machine to Model and Forecast Volatility," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-1.
    11. David E. Allen & Michael McAleer, 2022. "Trump’s COVID-19 tweets and Dr. Fauci’s emails," Scientometrics, Springer;Akadémiai Kiadó, vol. 127(3), pages 1643-1655, March.
    12. Th'arsis Tuani Pinto Souza & Olga Kolchyna & Philip C. Treleaven & Tomaso Aste, 2015. "Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail Industry," Papers 1507.00784, arXiv.org, revised Jul 2015.

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