University of Cambridge > > Isaac Newton Institute Seminar Series > The Role of News in Commodity and Equity Markets

The Role of News in Commodity and Equity Markets

Add to your list(s) Download to your calendar using vCal

If you have a question about this talk, please contact Mustapha Amrani.

Systemic Risk: Mathematical Modelling and Interdisciplinary Approaches

In this talk, I will give an overview of an exciting new field of research: creating news sentiment measures in financial markets (the so-called news analytics) and studying how various aspects of news influence asset prices. My main focus will be on commodity markets, but I will also touch upon equity-related news. I will illuminate how commodity and equity markets respond to news, in particular, to positive and negative news sentiment. I will utilize event studies, Granger causality tests and news-augmented volatility models to assess the effect of news on the returns, price jumps, volatilities, correlations and liquidity.

I will show that there are significant statistical and economic news effects on asset prices, leading to potentially profitable trading strategies. For energy commodities, I will show a great asymmetry in the market’s behavior: negative events are accompanied by much greater losses than the gains surrounding positive events.

I propose a Local News Sentiment Level model for constructing a running series of news sentiment. Among other effects, I find strong evidence that news sentiment causes price jumps and conclude that market participants trade as some function of aggregated news.

I augment volatility models (GARCH as well as high-frequency volatility models (HEAVY)) with news sentiment and show that including news sentiment measures in volatility models results in superior volatility forecasts and can improve the assessment of risk.

Finally, I will discuss how news sentiments for various equities or commodities can be combined into a “news sentiment index” and how such index relates to well-know price indices.

This talk is part of the Isaac Newton Institute Seminar Series series.

Tell a friend about this talk:

This talk is included in these lists:

Note that ex-directory lists are not shown.


© 2006-2021, University of Cambridge. Contact Us | Help and Documentation | Privacy and Publicity