Quantifying the Relationship between Financial News and the Stock Market

Sci. Rep. 3, 3578 (2013)

6 Pages Posted: 7 Jan 2014

See all articles by Merve Alanyali

Merve Alanyali

University of Warwick - Warwick Business School

Helen Susannah Moat

University College London - Department of Civil, Environmental and Geomatic Engineering; Boston University - Center for Polymer Studies

Tobias Preis

Data Science Lab, Behavioural Science, Warwick Business School; Artemis Capital Asset Management GmbH

Date Written: December 20, 2013

Abstract

The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company’s stock both on the day before the news is released, and on the same day as the news is released. Our results provide quantitative support for the suggestion that movements in financial markets and movements in financial news are intrinsically interlinked.

Keywords: Big Data, Financial Markets, Nowcasting, Data Mining, Financial Times, Computational Social Science, Dow Jones Industrial Average

JEL Classification: A10, B40, C10, C20, C22, C53, C90, D70, D79, D83, J10, J11, O40, O47

Suggested Citation

Alanyali, Merve and Moat, Helen Susannah and Preis, Tobias, Quantifying the Relationship between Financial News and the Stock Market (December 20, 2013). Sci. Rep. 3, 3578 (2013). Available at SSRN: https://ssrn.com/abstract=2375592

Merve Alanyali

University of Warwick - Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom

Helen Susannah Moat

University College London - Department of Civil, Environmental and Geomatic Engineering ( email )

Gower Street
London, WC1E 6BT
United Kingdom

HOME PAGE: http://www.suzymoat.co.uk

Boston University - Center for Polymer Studies ( email )

590 Commonwealth Avenue
Boston, MA 02215
United States

Tobias Preis (Contact Author)

Data Science Lab, Behavioural Science, Warwick Business School ( email )

University of Warwick
Coventry, CV4 7AL
United Kingdom

HOME PAGE: http://www.tobiaspreis.com

Artemis Capital Asset Management GmbH ( email )

Gartenstrasse 14
Holzheim, 65558
Germany

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