Xiang Yu

OptiRisk Systems

Financial Modelling Researcher

UNICOM R&D House

One Oxford Road

Uxbridge, UB9 4DA

United Kingdom

SCHOLARLY PAPERS

7

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in Total Papers Downloads

1,128

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (7)

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1.

An Impact Measure for News: Its Use in Daily Trading Strategies

Number of pages: 25 Posted: 12 Dec 2015
Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle and Tilman Sayer
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, OptiRisk Systems and Advanced Logic Analytics
Downloads 313 (115,857)
Citation 3

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news sentiment, news impact, efficient market hypothesis daily trading, predictive analytics, asset returns, volatility of assets, liquidity of assets, GARCH model, bid-ask spread, news metadata, market data, volatility pumping, Kelly strategy

2.

Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading

Number of pages: 48 Posted: 17 May 2015
Gautam Mitra, Dan di Bartolomeo, Ashok Banerjee and Xiang Yu
Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Northfield Information Services, Indian Institute of Management Calcutta and OptiRisk Systems
Downloads 278 (130,852)
Citation 1

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Computer trading, Automated Trading, Market Sentiment, News Sentiment Analysis, News Impact, Liquidity measures, Market microstructure

3.

Using Social Media and News Sentiment Data to Construct a Momentum Strategy

Number of pages: 20 Posted: 03 Jul 2019
Yuke Shi, Gautam Mitra, Cristiano Arbex-Valle and Xiang Yu
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 195 (184,547)
Citation 2

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Momentum Strategy, News Sentiment, News impact scores, Social Media, StockTwits, Relative Strength Indicator

4.

Impact of News on Asset Behaviour: Return, Volatility and Liquidity in an Intra-Day Setting

Number of pages: 33 Posted: 23 Jul 2013 Last Revised: 19 Nov 2013
Xiang Yu, Gautam Mitra and Keming Yu
OptiRisk Systems, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications
Downloads 171 (207,276)
Citation 2

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News sentiment, high frequency data, return, volatility, liquidity, predictive analysis

5.

Volatility Forecast Using GARCH, News Sentiment and Implied Volatility

Number of pages: 26 Posted: 03 Jul 2019
Jamie Atkinson, Gautam Mitra and Xiang Yu
OptiRisk Systems, OptiRisk Systems and OptiRisk Systems
Downloads 68 (392,541)

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Asymmetric Distribution, GARCH, Implied Volatility, News Sentiment, News Impact Score, Prediction, Volatility

6.

Volatility Forecast with GARCH Model and News Analytics

Number of pages: 26 Posted: 03 Jul 2019
Andrea Cantamessa, Gautam Mitra and Xiang Yu
Independent, OptiRisk Systems and OptiRisk Systems
Downloads 65 (402,001)

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Generalized Autoregressive Conditional Heteroskedasticity, Volatility, News Sentiment, News Impact, News Volume, Scheduled/Unscheduled News

7.

An Impact Measure for News: It's Use in (Daily) Trading Strategies

The Handbook of Sentiment Analysis in Finance (2016), Chapter 13.
Number of pages: 27 Posted: 30 Nov 2020
Xiang Yu, Gautam Mitra, Cristiano Arbex-Valle and Tilman Sayer
OptiRisk Systems, OptiRisk Systems, OptiRisk Systems and Advanced Logic Analytics
Downloads 38 (506,278)

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news sentiment, news impact score, trading strategies, volatility, liquidity