In this study, we introduce a new method of assessing the credit risk of corporate bonds; where in addition to the historical market data news sentiment data is used. Typically, a higher yield spread is usually associated with higher credit risk. By predicting the upward/downward movement of...

We investigate how ‘news sentiment' in general and the ‘impact of news' in particular can be utilised in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived measure of news impact score which takes into...

Computer trading in financial markets is a rapidly developing field with a growing number of applications. Automated analysis of news and computation of market sentiment is a related applied research topic which impinges on the methods and models deployed in the former. In this chapter we have...

We apply a regime switching Markov chain model to determine bond prices. Our work builds upon the work of Thomas, Allen amp; Morkel-Kingsbury (2002) and Jarrow, Lando amp; Turnbull (1997). The interest rate process and credit rating migration process are considered. Our aim is to study the price...

We investigate how “news sentiment” in general and the “impact of news” in particular can be utilized in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived measure of news impact score which takes into...

We explain the importance of Market Microstructure in the study of the Financial Markets, and then describe the Market Participants who collectively comprise the Financial Market. After a short history of capital markets, we describe the transition of the trading activities from the physical...

We report an empirical study of a predictive analysis model for equities; the model uses high frequency (minute-bar) market data and quantified news sentiment data. The purpose of the study is to identify a predictive model which can be used in designing automated trading strategies. Given that...

Recently considerable attention has been given to downside risk control in the context of portfolio choice; see Sortino and Satchell (2005). We propose an integrated model for portfolio choice in which downside risk is considered explicitly at the stage of the scenario generation which describes...