The impact of sentiment and attention measures on stock market volatility
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DOI: 10.1016/j.ijforecast.2019.05.010
Abstract: We analyze the impact of sentiment and attention variables on volatility by using a novel and extensive dataset that combines social media, news articles, information consumption, and search engine data. Applying a state-of-the-art sentiment classification… read more here.
Keywords: sentiment attention; attention; attention measures; volatility ... See more keywords