@inproceedings{a215d0c179aa4cd68fbfedd4bea83349,
title = "The relation between news events and stock price jump: An analysis based on neural network",
abstract = "The efficient-market hypothesis states that price movements are extremely efficient in reflecting information flows. Some studies have shown that stock prices are related to news events such as earnings announcements, political events and corporate takeovers, while others have failed to find convincing evidence to relate price changes to news. The aim of this study is to explore the relation between news and abnormal financial market volatility. We first investigate the Granger causality between news and stock returns. Our results show that stock price change is the Granger cause of news volume and news sentiment; news volume is not the Granger cause of stock price change while news sentiment is the Granger cause of stock price change. Moreover, we utilize an artificial neural network model to predict stock market collapses by using different volatility parameters. The findings from this study will further our understanding of stock price movements and the reasons for stock market collapses.",
keywords = "Granger causality, Neural network, News sentiment, Stock price jump",
author = "Wanbin Wang and Ho, {Kin Yip} and Liu, {Wai Man} and Kun Wang",
note = "Publisher Copyright: {\textcopyright} International Congress on Modelling and Simulation, MODSIM 2013.All right reserved.; 20th International Congress on Modelling and Simulation - Adapting to Change: The Multiple Roles of Modelling, MODSIM 2013 - Held jointly with the 22nd National Conference of the Australian Society for Operations Research, ASOR 2013 and the DSTO led Defence Operations Research Symposium, DORS 2013 ; Conference date: 01-12-2013 Through 06-12-2013",
year = "2013",
language = "English",
series = "Proceedings - 20th International Congress on Modelling and Simulation, MODSIM 2013",
publisher = "Modelling and Simulation Society of Australia and New Zealand Inc (MSSANZ)",
pages = "1406--1411",
editor = "Julia Piantadosi and Robert Anderssen and John Boland",
booktitle = "Proceedings - 20th International Congress on Modelling and Simulation, MODSIM 2013",
}