Cristiano Arbex-Valle

OptiRisk Systems

UNICOM R&D House

One Oxford Road

Uxbridge, UB9 4DA

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS

720

SSRN CITATIONS

6

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

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

Number of pages: 25 Posted: 12 Dec 2015
Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle and Tilman Sayer
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.

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

Number of pages: 20 Posted: 03 Jul 2019
Yuke Shi, Gautam Mitra, Cristiano Arbex-Valle and Xiang Yu
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

3.

News-Enhanced Market Risk Management

Number of pages: 16 Posted: 24 Nov 2013
OptiRisk Systems, Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), OptiRisk Systems, Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), SemLab and SemLab
Downloads 166 (214,783)
Citation 2

Abstract:

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News analytics, Risk Management, Value at Risk

4.

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
Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle and Tilman Sayer
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