Identifying the influential factors of commodity futures prices through a new text mining approach

DOI10.1080/14697688.2020.1814008zbMath1471.91575OpenAlexW3093601699MaRDI QIDQ4957254

Yanzhen Yao, Xiaoqian Zhu, Guowen Li, Jian-ping Li

Publication date: 3 September 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1814008

zbMATH Keywords

financial risktext analysistopic modellingcommodity futures pricesdependency parsing-sentence-latent Dirichlet allocation (DP-Sent-LDA)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• A correlated topic model of science
• Is news related to GDP growth a risk factor for commodity futures returns?
• 10.1162/jmlr.2003.3.4-5.993
• Determinants of oil futures prices and convenience yields
• Testing for Serial Correlation in Fixed-Effects Panel Data Models

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