Wistbacka, PontusRönnqvist, SamuelVozian, KatiaSagade, Satchit2020-12-242020-12-242021-01-05978-0-9981331-4-0http://hdl.handle.net/10125/70804We explore several ways of using news articles and financial data to train neural network machine learning models to predict shock events in high-frequency market data, and aggregated shock episodes. We investigate the use of price movements in this context, and separately at a daily interval as well. We describe in detail how training sets are created from our data sources and how our machine learning models are trained. We find that pairing company-related news text with events or movements in financial time series proves less straight-forward than the literature would indicate. We discuss possible reasons for negative results, especially relating to the combination of minute-level news and millisecond-level market data.8 pagesEnglishAttribution-NonCommercial-NoDerivatives 4.0 InternationalMachine Learning and Predictive Analytics in Accounting, Finance, and Managementliquidity shocksmachine learningnewstext mining10.24251/HICSS.2021.192