Cristiano Arbex-Valle

OptiRisk Systems

UNICOM R&D House

One Oxford Road

Uxbridge, UB9 4DA

United Kingdom

SCHOLARLY PAPERS

3

DOWNLOADS

421

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
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 255 (118,286)

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.

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 152 (191,009)
Citation 1

Abstract:

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News analytics, Risk Management, Value at Risk

3.

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 14 (550,127)

Abstract:

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