Category: Data, Models & Market Infrastructure

The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility

From Dallas Fed: We document the forecasting gains achieved by incorporating measures of signed, finite and infinite jumps in forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that vary by sector, volume and degree of jump activity. We use extended HAR-RV models, and […]

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What’s the issue with sentiment analysis?

Sentiment analysis is one of the most successful and widespread applications in natural language processing. However, for all the hype it has generated since its inception, there are still many issues associated with it. In my work with Brandtix and other startups I had the opportunity to work a lot with sentiment analysis, especially in the context of social […]

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