Correlations and Flow of Information between The New York Times and Stock Markets

@article{GarcaMedina2017CorrelationsAF,
  title={Correlations and Flow of Information between The New York Times and Stock Markets},
  author={Andr{\'e}s Garc{\'i}a-Medina and Leonidas Sandoval Junior and Efra{\'i}n Urrutia Ba{\~n}uelos and A. M. Mart'inez-Arguello},
  journal={Physica A-statistical Mechanics and Its Applications},
  year={2017},
  volume={502},
  pages={403-415}
}
  • Andrés García-Medina, Leonidas Sandoval Junior, +1 author A. M. Mart'inez-Arguello
  • Published 2017
  • Mathematics, Economics, Physics
  • Physica A-statistical Mechanics and Its Applications
  • We use Random Matrix Theory (RMT) and information theory to analyze the correlations and flow of information between 64,939 news from The New York Times and 40 world financial indices during 10 months along the period 2015-2016. The set of news was quantified and transformed into daily polarity time series using tools from sentiment analysis. Results from RMT shows that a common factor lead the world indices and news, and even share the same dynamics. Furthermore, the global correlation… CONTINUE READING

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