This study quantifies the dynamic interrelationship between the KOSPI index return and search query data derived from the Naver DataLab. The empirical estimation using a bivariate GARCH model reveals that negative contemporaneous correlations between the stock return and the search frequency...

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers, along with ten macroeconomic indicators. We also gather data from Google Trends about these firms’ assets as an index of retail investors’ attention. Thus, we create an...

The world has become data driven, which highly accentuated the utilization of information technology. The movements of stock markets are influenced, by both the micro as well as macro economic variables including the legal framework and taxation policies of the respective economies. The crux of...

In this paper we show, using a Machine Learning Framework and utilising a substantial corpus of media articles on Brexit, confirmed evidence of co-integration and causality between the ensuing media sentiments and British currency. The novel contribution of this paper is that along with...

In digital era, the provision of streaming data and its storage has taken wider forms where data can be in structure, semi-structured and unstructured forms. As data is increasing the storage capacity also has to be increased, and the processing of data from such huge storage may be time...