Title: A generalised model of typical and atypical news transmission
Authors: Sarantis Tsiaplias - Melbourne University (Australia) [presenting]
Chew Lian Chua - The University of Melbourne (Australia)
Abstract: The purpose is to examnine the impact of information cross-flows on stock prices, and how information from a given stock affects the prices of other stocks. A model is developed that categorizes a stock's news into typical and atypical news, and allows both types of news to be filtered through to other stocks. We explore the relationship between news and the expected volatility surfaces and show how the concavity of the surfaces depends on time, news magnitude and news type. The surfaces change significantly in the presence of atypical news such that a stock can be both a substitute and a complement.