Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events

DOI10.1080/14697688.2017.1403156zbMath1400.91569OpenAlexW2618229020MaRDI QIDQ4554425

Jing Chen, Anqi Liu, Steve Y. Yang, A. G. Hawkes

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://orca.cf.ac.uk/107353/1/QF-SI-HP-016-Full.pdf

zbMATH Keywords

point processHawkes processreturn jumpsinvestor sentimentnews sentiment

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)

Related Items (1)

Stock-specific sentiment and return predictability

Uses Software

• OptiRisk

Cites Work

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