Xiang Yu

OptiRisk Systems

Financial Modelling Researcher

UNICOM R&D House

One Oxford Road

Uxbridge, UB9 4DA

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

642

CITATIONS

0

Scholarly Papers (3)

1.

An Impact Measure for News: Its Use in Daily Trading Strategies

Number of pages: 25 Posted: 12 Dec 2015
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, OptiRisk Systems and Advanced Logic Analytics
Downloads 252 (119,244)

Abstract:

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news sentiment, news impact, efficient market hypothesis daily trading, predictive analytics, asset returns, volatility of assets, liquidity of assets, GARCH model, bid-ask spread, news metadata, market data, volatility pumping, Kelly strategy

2.

Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading

Number of pages: 48 Posted: 17 May 2015
Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Northfield Information Services, Indian Institute of Management Calcutta and OptiRisk Systems
Downloads 234 (128,517)
Citation 1

Abstract:

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Computer trading, Automated Trading, Market Sentiment, News Sentiment Analysis, News Impact, Liquidity measures, Market microstructure

3.

Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-Day Setting

Number of pages: 33 Posted: 23 Jul 2013 Last Revised: 19 Nov 2013
Xiang Yu, Gautam Mitra and Keming Yu
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 156 (186,038)
Citation 2

Abstract:

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News sentiment, high frequency data, return, volatility, liquidity, predictive analysis