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How to enable automated trading engines to cope with news-related liquidity shocks? Extracting signals from unstructured data
16 references·0 citing·49 second hop
How to enable automated trading engines to cope with news-related liquidity shocks? Extracting signals from unstructured data (2014)How to enable automated trading engines t…Market Liquidity (2013)Market LiquidityThe Econometrics of Financial Markets (2012)The Econometrics of Financial…When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks (2011)When Is a Liability Not a Lia…An intraday market risk management approach based on textual analysis (2010)An intraday market risk manag…Textual analysis of stock market prediction using breaking financial news (2009)Textual analysis of stock mar…Forecasting stock market movement direction with support vector machine (2004)Forecasting stock market move…Forecasting Intraday stock price trends with text mining techniques (2004)Forecasting Intraday stock pr…How the Equity Market Responds to Unanticipated Events* (2003)How the Equity Market Respond…Daily stock market forecast from textual web data (2002)Daily stock market forecast f…Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time (2001)Liquidity, Volatility and Equ…Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book (2000)Liquidity Beyond the Inside S…The Cost of Institutional Equity Trades (1998)The Cost of Institutional Equ…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Earnings Announcements and the Components of the Bid-Ask Spread (1996)Earnings Announcements and th…Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis (1993)Spreads, Depths, and the Impa…An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks (1992)An Analysis of Intraday Patte…An Econometric Analysis of Nonsynchronous Trading (1989)An ordered probit analysis of transaction stock prices (1990)The Econometrics of Financial Markets (1998)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Behavior of Stock-Market Prices (1965)A Random Walk Down Wall Street (1973)Application of support vector machines in financial time series forecasting (2001)Twitter mood predicts the stock market (2011)What can big data and text analytics tell us about hotel guest experience and satisfaction? (2014)Applications of deep learning in stock market prediction: Recent progress (2021)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)The Cross-Section of Expected Stock Returns (1992)Predicting direction of stock price index movement using artificial neural networks and support vector machines: The sample of the Istanbul Stock Exchange (2010)Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques (2014)A deep learning framework for financial time series using stacked autoencoders and long-short term memory (2017)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Inferring Trade Direction from Intraday Data (1991)Market liquidity and volume around earnings announcements (1994)Commonality in liquidity (2000)Optimal execution of portfolio transactions (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Common risk factors in the returns on stocks and bonds (1993)Disappearing dividends: changing firm characteristics or lower propensity to pay? (2001)In Search of Attention (2011)Text as Data: The Promise and Pitfalls of Automatic Content Analysis Methods for Political Texts (2013)Textual Analysis in Accounting and Finance: A Survey (2016)The Cost of Transacting (1968)Stock returns and the weekend effect (1980)Measuring the Information Content of Stock Trades (1991)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Market microstructure: A survey (2000)Information Effects on the Bid-Ask Spread (1983)A Theory of Intraday Patterns: Volume and Price Variability (1988)Pre-announcement and event-period private information (1997)Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information (1999)Time-Varying World Market Integration (1995)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Emerging equity market volatility (1997)What Determines the Domestic Bias and Foreign Bias? Evidence from Mutual Fund Equity Allocations Worldwide (2005)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes (2008)Bank Bias in Europe: Effects on Systemic Risk and Growth (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Need for Speed? Exchange Latency and Liquidity (2017)Determining the Number of Factors in Approximate Factor Models (2002)
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References

  • 2011When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10‐Ks6,003 cited
  • 2012The Econometrics of Financial Markets5,889 cited
  • 1997The Econometrics of Financial Markets5,048 cited
  • 2004Forecasting stock market movement direction with support vector machine1,163 cited
  • 1993Spreads, Depths, and the Impact of Earnings Information: An Intraday Analysis979 cited
  • 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks899 cited
  • 2009Textual analysis of stock market prediction using breaking financial news784 cited
  • 1996Earnings Announcements and the Components of the Bid-Ask Spread388 cited
  • 2001Liquidity, Volatility and Equity Trading Costs Across Countries and Over Time378 cited
  • 2013Market Liquidity300 cited
  • 2004Forecasting Intraday stock price trends with text mining techniques266 cited
  • 1998The Cost of Institutional Equity Trades260 cited
  • 2010An intraday market risk management approach based on textual analysis167 cited
  • 2002Daily stock market forecast from textual web data163 cited
  • 2003How the Equity Market Responds to Unanticipated Events*134 cited

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  • 2000Liquidity Beyond the Inside Spread: Measuring and Using Information in the Limit Order Book131 cited
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