Xiang Yu

OptiRisk Systems

Financial Modelling Researcher

UNICOM R&D House

One Oxford Road

Uxbridge, UB9 4DA

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 46,337

SSRN RANKINGS

Top 46,337

in Total Papers Downloads

1,155

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (7)

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 315 (116,078)
Citation 3

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 280 (131,389)
Citation 1

Abstract:

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

3.

Using Social Media and News Sentiment Data to Construct a Momentum Strategy

Number of pages: 20 Posted: 03 Jul 2019
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 197 (184,920)
Citation 2

Abstract:

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Momentum Strategy, News Sentiment, News impact scores, Social Media, StockTwits, Relative Strength Indicator

4.

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 174 (206,368)
Citation 2

Abstract:

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

5.

Volatility Forecast Using GARCH, News Sentiment and Implied Volatility

Number of pages: 26 Posted: 03 Jul 2019
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 79 (364,834)

Abstract:

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Asymmetric Distribution, GARCH, Implied Volatility, News Sentiment, News Impact Score, Prediction, Volatility

6.

Volatility Forecast with GARCH Model and News Analytics

Number of pages: 26 Posted: 03 Jul 2019
Independent, OptiRisk Systems and OptiRisk Systems
Downloads 68 (396,487)

Abstract:

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Generalized Autoregressive Conditional Heteroskedasticity, Volatility, News Sentiment, News Impact, News Volume, Scheduled/Unscheduled News

7.

An Impact Measure for News: It's Use in (Daily) Trading Strategies

The Handbook of Sentiment Analysis in Finance (2016), Chapter 13.
Number of pages: 27 Posted: 30 Nov 2020
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and Advanced Logic Analytics
Downloads 42 (492,904)

Abstract:

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news sentiment, news impact score, trading strategies, volatility, liquidity