Systematic Approach To Quantify Impact Of News Sentiment On Financial Markets

Cloud computing and big data platforms provide extensive opportunities to conduct sophisticated data analysis experiments, one challenge arises from this huge growth in data, is to be able understand how different contexts could influence the outcome of the analytics result. This paper evaluates a proposed framework called News Sentiment Impact Analysis (NSIA) using intraday liquidity and price jumps market measures. The framework proves that varying contexts provides different results when quantifying impact of news on financial markets, even while applying similar news or market measures. The framework enables reproducing the results and retrieving results using a step by step approach.