Open Access
Stock market uncertainty determination with news headlines : a digital twin approach
Loading...
Files
Stock_market_Art_2023.pdf (881.98 KB)
Full text in Open Access, Published version
License
Attribution 4.0 International
Cadmus Permanent Link
Full-text via DOI
ISBN
ISSN
2473-6988
Issue Date
Type of Publication
Keyword(s)
LC Subject Heading
Other Topic(s)
EUI Research Cluster(s)
Initial version
Published version
Succeeding version
Preceding version
Published version part
Earlier different version
Initial format
Author(s)
Citation
AIMS mathematics, 2023, Vol. 9, No. 1, pp. 1683-1717
Cite
GUTIÉRREZ-DIEZ, Pedro José, Stock market uncertainty determination with news headlines : a digital twin approach, AIMS mathematics, 2023, Vol. 9, No. 1, pp. 1683-1717 - https://hdl.handle.net/1814/76193
Abstract
We present a novel digital twin model that implements advanced artificial intelligence techniques to robustly link news and stock market uncertainty. On the basis of central results in financial economics, our model efficiently identifies, quantifies, and forecasts the uncertainty encapsulated in the news by mirroring the human mind’s information processing mechanisms. After obtaining full statistical descriptions of the timeline and contextual patterns of the appearances of specific words, the applied data mining techniques lead to the definition of regions of homogeneous knowledge. The absence of a clear assignment of informative elements to specific knowledge regions is regarded as uncertainty, which is then measured and quantified using Shannon Entropy. As compared with standard models, the empirical analyses demonstrate the effectiveness of this approach in anticipating stock market uncertainty, thus showcasing a meaningful integration of natural language processing, artificial intelligence, and information theory to comprehend the perception of uncertainty encapsulated in the news by market agents and its subsequent impact on stock markets.
Table of Contents
Additional Information
Published online: 13 December 2023