University of Warwick
Wednesday 11th June 2014, 2:50pm
TITLE | Quantifying the Relationship Between Financial News and the Stock Market
ABSTRACT | The complex behavior of financial markets emerges from decisions made by many traders. Here, we exploit a large corpus of daily print issues of the Financial Times from 2nd January 2007 until 31st December 2012 to quantify the relationship between decisions taken in financial markets and developments in financial news. We find a positive correlation between the daily number of mentions of a company in the Financial Times and the daily transaction volume of a company’s stock both on the day before the news is released, and on the same day as the news is released. Our results provide quantitative support for the suggestion that movements in financial markets and movements in financial news are intrinsically interlinked.
BIOGRAPHY | Merve Alanyali is a Masters student in Complex Systems Science at the University of Warwick. Her research focuses on the analysis of large open data sources with concepts and methods stemming from image processing and machine learning. Merve’s recent findings of a relationship between the number of mentions of a company in the Financial Times and the transaction volume of a company’s stock were the focus of substantial media attention, including a piece in the Financial Times and coverage on Australian television. Merve graduated with high honours in Computer Science from Izmir University of Economics in 2011, and has subsequently studied at universities in the UK, Russia and Sweden. She was recently awarded a Chancellor’s International Scholarship to allow her to begin a PhD in Data Science at Warwick Business School, University of Warwick, in October 2014.