Predictable markets? A news-driven model of the stock market

We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We...

Full description

Saved in:
Bibliographic Details
Published inarXiv.org
Main Authors Gusev, Maxim, Kroujiline, Dimitri, Govorkov, Boris, Sharov, Sergey V, Ushanov, Dmitry, Zhilyaev, Maxim
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 22.09.2014
Subjects
Information flow
Markets
Securities markets
Online AccessGet full text

Cover

Abstract We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We demonstrate that this model replicates observed market behavior on all relevant timescales (from days to years) reasonably well. Using the model, we obtain and discuss a number of results that pose implications for current market theory and offer potential practical applications.
AbstractList We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and theoretically. We demonstrate that this model replicates observed market behavior on all relevant timescales (from days to years) reasonably well. Using the model, we obtain and discuss a number of results that pose implications for current market theory and offer potential practical applications.
Author Zhilyaev, Maxim
Kroujiline, Dimitri
Gusev, Maxim
Ushanov, Dmitry
Sharov, Sergey V
Govorkov, Boris
Author_xml – sequence: 1
  givenname: Maxim
  surname: Gusev
  fullname: Gusev, Maxim
– sequence: 2
  givenname: Dimitri
  surname: Kroujiline
  fullname: Kroujiline, Dimitri
– sequence: 3
  givenname: Boris
  surname: Govorkov
  fullname: Govorkov, Boris
– sequence: 4
  givenname: Sergey
  surname: Sharov
  middlename: V
  fullname: Sharov, Sergey V
– sequence: 5
  givenname: Dmitry
  surname: Ushanov
  fullname: Ushanov, Dmitry
– sequence: 6
  givenname: Maxim
  surname: Zhilyaev
  fullname: Zhilyaev, Maxim
BookMark eNqNyr0KwjAUQOEgClbtO1xwLsSkrSkIIqI4OriX2N5i_xLNTfX1degDOJ3hfAs2NdbghAVCyk2kYiHmLCRqOOci3YokkQHbXR2WdeH1vUPotWvR0x4OYPBDUenqNxrobYkd2Ar8A4G8LdpRrtis0h1hOHbJ1ufT7XiJns6-BiSfN3Zw5rdywVWs4lRlmfxPfQFT7DkK
ContentType Paper
Copyright 2014. This work is published under http://arxiv.org/licenses/nonexclusive-distrib/1.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.
Copyright_xml – notice: 2014. This work is published under http://arxiv.org/licenses/nonexclusive-distrib/1.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.
DBID 8FE
8FG
ABJCF
ABUWG
AFKRA
AZQEC
BENPR
BGLVJ
CCPQU
DWQXO
HCIFZ
L6V
M7S
PIMPY
PQEST
PQQKQ
PQUKI
PRINS
PTHSS
DatabaseName ProQuest SciTech Collection
ProQuest Technology Collection
Materials Science & Engineering Collection
ProQuest Central (Alumni)
ProQuest Central
ProQuest Central Essentials
AUTh Library subscriptions: ProQuest Central
Technology Collection
ProQuest One Community College
ProQuest Central
SciTech Premium Collection (Proquest) (PQ_SDU_P3)
ProQuest Engineering Collection
ProQuest Engineering Database
Publicly Available Content Database
ProQuest One Academic Eastern Edition (DO NOT USE)
ProQuest One Academic
ProQuest One Academic UKI Edition
ProQuest Central China
Engineering Collection
DatabaseTitle Publicly Available Content Database
Engineering Database
Technology Collection
ProQuest Central Essentials
ProQuest One Academic Eastern Edition
ProQuest Central (Alumni Edition)
SciTech Premium Collection
ProQuest One Community College
ProQuest Technology Collection
ProQuest SciTech Collection
ProQuest Central China
ProQuest Central
ProQuest Engineering Collection
ProQuest One Academic UKI Edition
ProQuest Central Korea
Materials Science & Engineering Collection
ProQuest One Academic
Engineering Collection
DatabaseTitleList Publicly Available Content Database
Database_xml – sequence: 1
  dbid: 8FG
  name: ProQuest Technology Collection
  url: https://search.proquest.com/technologycollection1
  sourceTypes: Aggregation Database
DeliveryMethod fulltext_linktorsrc
Discipline Physics
EISSN 2331-8422
Genre Working Paper/Pre-Print
GroupedDBID 8FE
8FG
ABJCF
ABUWG
AFKRA
ALMA_UNASSIGNED_HOLDINGS
AZQEC
BENPR
BGLVJ
CCPQU
DWQXO
FRJ
HCIFZ
L6V
M7S
M~E
PIMPY
PQEST
PQQKQ
PQUKI
PRINS
PTHSS
ID FETCH-proquest_journals_20848468993
IEDL.DBID BENPR
IngestDate Thu Oct 10 15:07:46 EDT 2024
IsOpenAccess true
IsPeerReviewed false
IsScholarly false
Language English
LinkModel DirectLink
MergedId FETCHMERGED-proquest_journals_20848468993
OpenAccessLink https://www.proquest.com/docview/2084846899?pq-origsite=%requestingapplication%
PQID 2084846899
PQPubID 2050157
ParticipantIDs proquest_journals_2084846899
PublicationCentury 2000
PublicationDate 20140922
PublicationDateYYYYMMDD 2014-09-22
PublicationDate_xml – month: 09
  year: 2014
  text: 20140922
  day: 22
PublicationDecade 2010
PublicationPlace Ithaca
PublicationPlace_xml – name: Ithaca
PublicationTitle arXiv.org
PublicationYear 2014
Publisher Cornell University Library, arXiv.org
Publisher_xml – name: Cornell University Library, arXiv.org
SSID ssj0002672553
Score 2.951251
SecondaryResourceType preprint
Snippet We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose...
SourceID proquest
SourceType Aggregation Database
SubjectTerms Information flow
Markets
Securities markets
Title Predictable markets? A news-driven model of the stock market
URI https://www.proquest.com/docview/2084846899
hasFullText 1
inHoldings 1
isFullTextHit
isPrint
link http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwfV1LSwMxEB5sF8GbT3zUEtBrILtJkxWEorJrESyLKPRWNo9eRNvurld_u5OQ6kHoMSQkJIT5vm8ykwG4rkecaaM4XdiMU5EqS7VmmirHDNeOp7IOv31O5eRNPM1Gs-hwa2NY5cYmBkNtl8b7yFGk5wKxEuXBeLWmvmqUf12NJTR6kGSoFFgfkvtiWr38elkyqZAz83-GNqBHuQ9JVa9ccwA77vMQdkPQpWmP4LZq_DNJ57OXyEdIP27H5I54pktt4-0QCZVqyHJBkKgRJGrmPY48hquyeH2Y0M2S83gt2vnfJvgJ9FHfu1MgyHFTy4TiXqxZK3MtmdDSihuXcqvMGQy2zXS-vfsC9hDjhQ9xyLIB9Lvmy10ijnZ6CL28fBzGI8PW83fxA9H0fPY
link.rule.ids 783,787,12777,21400,33385,33756,43612,43817
linkProvider ProQuest
linkToHtml http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwfV1LSwMxEB60RfTmEx9VA3oNZHfSpIJQRFxXraWHCr0tm0cvoq276_93ErZ6EHpOSEgI3_fNKwNwXfZRGKuRz12KXCbacWOE4doLi8Zjosr42-dY5W_yedaftQ63uk2rXGFiBGq3sMFHTkb6QBJXknkwXH7x0DUqRFfbFhqb0JVIXB0qxbPHXx9LqjQpZvwHs5E7sl3oTsqlr_Zgw3_uw1ZMubT1AdxOqhAkaULtEvuIxcf1kN2xoHO5qwIKsdinhi3mjGQaI5lm39uZh3CVPUzvc77asmgfRV38HQGPoEPWvT8GRgo3cUJqDKaac2pglJBGOXnjE3TankBv3Uqn64cvYTufvo6K0dP45Qx2iO1lSHZI0x50murbnxOjNuYiXtsP0qR8ag
openUrl ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Predictable+markets%3F+A+news-driven+model+of+the+stock+market&rft.jtitle=arXiv.org&rft.au=Gusev%2C+Maxim&rft.au=Kroujiline%2C+Dimitri&rft.au=Govorkov%2C+Boris&rft.au=Sharov%2C+Sergey+V&rft.date=2014-09-22&rft.pub=Cornell+University+Library%2C+arXiv.org&rft.eissn=2331-8422