External News Research Articles

Modeling of the financial market using the two-dimensional anisotropic Ising model

We have used the two-dimensional classical anisotropic Ising model in an external field and with an ion single anisotropy term as a mathematical model for the price dynamics of the financial market. The model presented allows us to test within the same framework the comparative explanatory power of rational agents versus irrational agents with respect to the facts of financial markets. We have obtained the mean price in terms of the strong of the site anisotropy term Δ which reinforces the sensitivity of the agent’s sentiment to external news.

Will They Come and Will They Stay? Online Social Networks and News Consumption on External Websites

This study explores the role of online engagement, homophily and social influence in explaining traffic and news consumption by social network users at an external news website. The authors jointly model visits and page views for a panel of users who registered with the news site using their Facebook accounts. In their model, the authors account for homophily using a latent space approach, and account for endogeneity, heterogeneity, and unobservable correlates. The results show that measures of an individual's activity on Facebook are positively associated with that individual's actions at the news site. In addition, knowing what a user's Facebook friends do at the content website provides insights into a focal user's behavior at that website, as visitors with friends who visit external news sites are more likely to visit the news website studied. In addition, news consumption (not just visits) also depends on friend's actions but such an impact varies with the individual's underlying browsing mode. We highlight the importance of social influence in news consumption and further show that homophily bias in news consumption is similar to prior research in other categories. Our study also highlights that visitors' past browsing patterns are important predictors of future content consumption, although social network information significantly improves prediction beyond the effect of such more traditional behavioral metrics. Finally we find that Managers can use readily available data for both prediction and targeting.

Ising model of financial markets with many assets

Abstract Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

Herd Behavior and Financial Crashes: An Interacting Particle System Approach

We provide an approach based on a modification of the Ising model to describe the dynamics of stock markets. Our model incorporates three different factors: imitation, the impact of external news, and private information; moreover, it is characterized by coupling coefficients, static in time, but not identical for each agent. By analogy with physical models, we consider thetemperatureparameter of the system, assuming that it evolves with memory of the past, hence considering how former news influences realized market returns. We show that a standard Ising potential assumption is not sufficient to reproduce the stylized facts characterizing financial markets; this is because it assigns low probabilities to rare events. Hence, we study a variation of the previous setting providing, also by concrete computations, new insights and improvements.

Anticipating Economic Market Crises Using Measures of Collective Panic.

Predicting panic is of critical importance in many areas of human and animal behavior, notably in the context of economics. The recent financial crisis is a case in point. Panic may be due to a specific external threat or self-generated nervousness. Here we show that the recent economic crisis and earlier large single-day panics were preceded by extended periods of high levels of market mimicry—direct evidence of uncertainty and nervousness, and of the comparatively weak influence of external news. High levels of mimicry can be a quite general indicator of the potential for self-organized crises.

The Transmission of Federal Reserve Tapering News to Emerging Financial Markets

This paper evaluates the impact of tapering “news” announcements by Fed senior policy makers on financial markets in emerging economies. We apply a panel framework using daily data, and find that emerging market asset prices respond most to statements by Fed Chairman Bernanke, and much less to other Fed officials. We group emerging markets into those with “robust” fundamentals (current account surpluses, high international reserves and low external debt) and those with “fragile” fundamentals and, intriguingly, find that the exchange rates of the robust group (and lesser extend equity prices and CDS spreads) were more adversely affected to tapering news than the fragile group. The cumulative effects of tapering announcements after a month, however, appear to be quite similar for both robust and fragile emerging markets. We also show that more financially developed economies are more impacted by tapering news and a plausible interpretation is that more financially developed economies are more exposed, at least in the short-term, to external news announcements.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

An Inherent Instability of Efficient Markets

Speculative markets are often described as “informationally efficient” such that predictable price changes are eliminated by traders exploiting them, leaving only residual unpredictable fluctuations. This classical view of markets operating close to an equilibrium is challenged by extreme price fluctuations which occur far more frequently than can be accounted for by external news. Here we show that speculative markets which absorb self-generated information can exhibit both: evolution towards efficient equilibrium states as well as their subsequent destabilisation. We introduce a minimal agent-based market model where the impacts of trading strategies naturally adapt according to their success. This implements a learning rule for the whole market minimising predictable price changes, and an extreme succeptibility at the point of perfect balance. The model quantitatively reproduces real heavy-tailed log return distributions and volatility clusters. Our results demonstrate that market instabilities can be a consequence of the very mechanisms that lead to market efficiency.

Self-organizing Ising model of artificial financial markets with small-world network topology

We study a self-organizing Ising-like model of artificial financial markets with underlying small-world (SW) network topology. The asset price dynamics results from the collective decisions of interacting agents which are located on a small-world complex network (the nodes symbolize the agents of a financial market). The model incorporates the effects of imitation, the impact of external news and private information. We also investigate the influence of different network topologies, from regular lattice to random graph, on the asset price dynamics by adjusting the probability of the rewiring procedure. We find that a specific combination of model parameters reproduce main stylized facts of real-world financial markets.

Predicting Economic Market Crises Using Measures of Collective Panic

Predicting panic is of critical importance in many areas of human and animal behavior, notably in the context of economics. The recent financial crisis is a case in point. Panic may be due to a specific external threat, or self-generated nervousness. Here we show that the recent economic crisis and earlier large single-day panics were preceded by extended periods of high levels of market mimicry - direct evidence of uncertainty and nervousness, and of the comparatively weak influence of external news. High levels of mimicry can be a quite general indicator of the potential for self-organized crises.

Complexity at large

Complexity at large

The blogosphere as an excitable social medium: Richter’s and Omori’s Law in media coverage

We study the dynamics of public media attention by monitoring the content of online blogs. Social and media events can be traced by the propagation of word frequencies of related keywords. Media events are classified as exogenous–where blogging activity is triggered by an external news item–or endogenous where word frequencies build up within a blogging community without external influences. We show that word occurrences exhibit statistical similarities to earthquakes. Moreover the size distribution of events scales with a similar exponent as found in the Gutenberg–Richter law. The dynamics of media events before and after the main event can be satisfactorily modeled as a type of process which has been used to understand fore–and aftershock rate distributions in earthquakes–the Omori law. We present empirical evidence that for media events of endogenous origin the overall public reception of the event is correlated with the behavior of word frequencies at the beginning of the event, and is to a certain degree predictable. These results imply that the process of opinion formation in a human society might be related to effects known from excitable media.

GARCH-ARJI 모형을 할용한 KOSPI 수익률의 변동성에 관한 실증분석

본 논문은 GARCH-ARJI(auto regressive jurnp intensity) 모형을 활용하여 KOSPI 주가지수의 변동을 체계적으로 분석하였다. GARCH-ARJI 모형은 변동성과 점프 인텐시티의 시간 가변성을 동시에 고려하는 모형으로, 수익률의 조건부 변동성을 GARCH 모형으로 설명할 수 있는 일상적인 변동과 점프에 의해 설명되는 변동의 두 부분으로 나눌 수 있는 장점이 있다. 실증분석 결과, KOSPI 주가 수익률에 내재된 점프 인텐시티가 상수가 아니라 자기 희귀 과정을 따르는 시간 가변성을 뚜렷이 확이할 수 있었고, KOSPI 수익률의 조건부 변동성은 점프로 인한 변동성이 GARCH에 의해 설명되는 일상적인 변동성보다 다소 작게나타나는 것을 발견할 수 있었다. 추가적으로, 9.11 위기와 2008 금융위기 등의 외부 충격으로 인한 KOSPI 수익률의 변동성에 대한 영향을 분석한 결과, 점프에 의한 영향력은 2008년 금융위기 기간이 9.11 기간보다 크고 지속적임을 발견할 수 있었다. In this paper, we systematically analyzed the variation of KOSPI returns using a GARCH-ARJI(auto regressive jump intensity) model. This model is possibly to capture time varying volatility as well as time varying conditional jump intensity. Thus, we can decompose return volatility into usual variation explained by the GARCH model and unusual variation that resulted from external news or shocks. We found that the jump intensity implied on KOSPI return series clearly shows time varying. We also found that conditional volatility due to jump is generally smaller than that resulted from usual variation. We also analyzed the effect of 9.11 and the 2008 financial crisis on the volatility of KOSPI returns and conclude that there is strong and persistent impact on the KOSPI from the 2008 financial crisis.

Self-organizing Ising model of financial markets

. We study a dynamical Ising-like model of agents' opinions (buy or sell) with learning, in which the coupling coefficients are re-assessed continuously in time according to how past external news (time-varying magnetic field) have explained realized market returns. By combining herding, the impact of external news and private information, we find that the stylized facts of financial markets are reproduced only when agents misattribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the Ising critical point.

Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets

Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective aggregate decisions of agents. This model incorporates imitation, the impact of external news and private information. It has the structure of a dynamical Ising model in which agents have two opinions (buy or sell) with coupling coefficients, which evolve in time with a memory of how past news have explained realized market returns. We study two versions of the model, which differ on how the agents interpret the predictive power of news. We show that the stylized facts of financial markets are reproduced only when agents are overconfident and mis-attribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the critical point. Our model exhibits a rich multifractal structure characterized by a continuous spectrum of exponents of the power law relaxation of endogenous bursts of volatility, in good agreement with previous analytical predictions obtained with the multifractal random walk model and with empirical facts.

Shallow and Static or Deep and Dynamic?

Abstract The Scandinavian countries are top ranked with regard to Internet access and general interest in news reading. Are they also showing the way for journalistic development through their utilization of new media technology? The article offers results from an empirical study of 12 major, Scandinavian news sites, examining both the journalistic content and the presentation formats of 95 online news stories. Comparisons are made between print and online versions of news stories, and between paper-based sites and TV-based sites. The study concludes that the potentials of creating a more broad-spectre, user-controlled, dynamic and dialogic form of journalism are utilized only to a very modest degree - or not at all. On the other hand, the idea of online news being mere “shovel-ware”, recycled from a sibling newspaper or collected from external news agencies, is not to be fully trusted. The article also offers a conceptual framework for description and explanation of mass media genre development, based on social semiotic theory.

Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets

Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective aggregate decisions of agents. This model incorporates imitation, the impact of external news and private information. It has the structure of a dynamical Ising model in which agents have two opinions (buy or sell) with coupling coefficients which evolve in time with a memory of how past news have explained realized market returns. We study two versions of the model, which differ on how the agents interpret the predictive power of news. We show that the stylized facts of financial markets are reproduced only when agents are over-confident and mis-attribute the success of news to predict return to herding effects, thereby providing positive feedbacks leading to the model functioning close to the critical point. Our model exhibits a rich multifractal structure characterized by a continuous spectrum of exponents of the power law relaxation of endogenous bursts of volatility, in good agreement with previous analytical predictions obtained with the multifractal random walk model and with empirical facts.

Authentic not cosmetic: CSR as brand enhancement

With question marks hanging over the reputational value of the chief executive officer (CEO) after several high-profile governance failures — such as Worldcom and Enron — and with financial success depressed by the global downturn, corporate social responsibility (CSR) is taking centre stage to provide a more sustainable, long-term brand value. Corporate responsibility has become a differentiator and licence to operate, not only for industries with conventionally higher risk exposure — energy, utilities, heavy manufacturing — but for all sectors. This paper draws on findings from the Giving Back study. These findings include the extent to which CSR is rising in prominence in terms of world events with CSR implications, the impact on perceptions of CSR from the external news events, and the status of ethical investment funds given the continued downward spiral of equities and stock markets in 2002. This paper describes elements in the successful implementation of CSR as perceived by interviewees, among them championship from senior management, achieving company-wide ownership, and synergy with core business activities. Aspects of CSR relating to communications are at the heart of the Giving Back research. The importance of having a credible programme in place is emphasised, as are credible public relations and reputation management approaches. The views of corporate decision makers on the media's role in CSR are discussed, including the media's roles and responsibilities.

The Editorial Workbench – Handling the Information Supply Chain of External Internet Data for Strategic Decision Support

Particularly in the field of strategic decisions managers have to deal with a huge amount of quantitative and qualitative data from internal and external sources. Thus the human information processing capacity frequently becomes a bottleneck. The development of the Internet and progress in research areas like user modeling and text mining offer promising prospects to solve the problems. The paper describes the concept and prototype of an “Editorial Workbench”. Based on information requirements of managers this system supports the collection, filtering, and linking of external business news with internal controlling data. SAPTM decided to use parts of the research results for the development of their new product SAP SEMTM.

Censor dot gov: the Internet and press freedom 2000

The rapidly growing volume of news and information on the Internet poses immediate problems for governments intent on influencing or controlling the ideas accessible in cyberspace. Old methods of censoring news and information are being remodeled to cope with the new communication technologies. This article examines some of the new methods of controlling information flows. These legislative and juridical actions in democratic as well as less-than-democratic states belie early assumptions that the content of Internet flows would be uncontrollable by governments. To place press freedom in context worldwide, the paper includes the latest (January 2000) Freedom House assessments in 186 countries. The study found that press controls are becoming subtler and less detectable in Europe, Latin America and where “Asian values” are projected to control internal and external news and information flows. For 400 years, governments learned to censor each new medium — newspapers, radio and television — as it appeared. The paper acknowledges that the Internet provides the greatest challenge to censors, but they are striving to master electronic forms of communication. The independence of the Internet, the study concludes, becomes the newest test of a government's will to encourage and sustain a free press.

Insurgent Violence Versus Image Management: The Struggle for National Images in Southern Africa

The authors examine the countervailing effects of two forces on external news coverage of Southern Rhodesia (now Zimbabwe) and South Africa during the 1970s. The first is purposeful government efforts at news management and information control undertaken by each of the two regimes. The second is the civil unrest which was present in the region during that period. They conclude that these effects and the policy consequences that flow from them are functions of the pre-existing image environment of each country in the foreign (US) press and of the character of its domestic unrest.