Quantifying Correlation between Financial News and Stocks

Research output: Chapter in Book/Report/Conference proceedingConference contribution


Financial news and stocks are correlated with each other, however such correlation is constantly changing overtime and depends on various internal and external factors. In this research, we have built a collection of company related news from Yahoo Financial News for the period October 1st 2014 to May 1st 2015, and financial data on the same 28 company stocks listed on the US stock market. We perform a series of Mantel tests between news and stocks from a sequence of 4 week sliding windows. The result provides quantitive support that there is a correlation between news content and stock price, which is better correlated with news than other parameters, such as daily return, volume or daily change.
Original languageEnglish
Title of host publicationIEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr)
Place of PublicationAthens
ISBN (Electronic)9781509042401
ISBN (Print)9781509042418
Publication statusPublished - 13 Feb 2017

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