Nyman, R;
Kapadia, S;
Tuckett, D;
(2021)
News and narratives in financial systems: Exploiting big data for systemic risk assessment.
Journal of Economic Dynamics and Control
, 127
, Article 104119. 10.1016/j.jedc.2021.104119.
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Abstract
This paper applies algorithmic analysis to financial market text-based data to assess how narratives and sentiment might drive financial system developments. We find changes in emotional content in narratives are highly correlated across data sources and show the formation (and subsequent collapse) of exuberance prior to the global financial crisis. Our metrics also have predictive power for other commonly used indicators of sentiment and appear to influence economic variables. A novel machine learning application also points towards increasing consensus around the strongly positive narrative prior to the crisis. Together, our metrics might help to warn about impending financial system distress.
| Type: | Article |
|---|---|
| Title: | News and narratives in financial systems: Exploiting big data for systemic risk assessment |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.jedc.2021.104119 |
| Publisher version: | https://doi.org/10.1016/j.jedc.2021.104119 |
| Language: | English |
| Additional information: | This work is licensed under a Creative Commons Attribution 4.0 International License. The images or other third party material in this article are included in the Creative Commons license, unless indicated otherwise in the credit line; if the material is not included under the Creative Commons license, users will need to obtain permission from the license holder to reproduce the material. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/ |
| Keywords: | Systemic risk, Text mining, Big data, Sentiment, Uncertainty, Narratives, Early warning indicators |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Brain Sciences UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Brain Sciences > Div of Psychology and Lang Sciences UCL > Provost and Vice Provost Offices > School of Life and Medical Sciences > Faculty of Brain Sciences > Div of Psychology and Lang Sciences > Clinical, Edu and Hlth Psychology |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10127901 |
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