Download or read book Impact of News on Asset Behaviour written by Xiang Yu and published by . This book was released on 2013 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report an empirical study of a predictive analysis model for equities; the model uses high frequency (minute-bar) market data and quantified news sentiment data. The purpose of the study is to identify a predictive model which can be used in designing automated trading strategies. Given that trading strategies take into consideration three important characteristics of an asset, namely, return, volatility and liquidity, our model is designed to predict these three parameters for a collection of assets. The minute-bar market data as well as intraday news sentiment metadata have been provided by Thomson Reuters.