Coupling News Sentiment with Web Browsing Data Improves Prediction of Intra-Day Price Dynamics

• Gabriele Ranco ,

  * E-mail: gabriele.ranco@gmail.com

  Affiliation IMT Institute for Advanced Studies, Piazza San Francesco 19, 55100 Lucca, Italy

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• Ilaria Bordino,

  Affiliation Yahoo Labs, Barcelona, Spain

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• Giacomo Bormetti,

  Affiliations Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126 Pisa, Italy, QUANTLab, Via Pietrasantina 123, 56122 Pisa, Italy

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• Guido Caldarelli,

  Affiliations IMT Institute for Advanced Studies, Piazza San Francesco 19, 55100 Lucca, Italy, ISC-CNR, Via dei Taurini 19, 00185 Roma, Italy, London Institute for Mathematical Science, South St. 35 Mayfair, London W1K 2XF, United Kingdom

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• Fabrizio Lillo,

  Affiliations Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126 Pisa, Italy, QUANTLab, Via Pietrasantina 123, 56122 Pisa, Italy

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• Michele Treccani

  Affiliations QUANTLab, Via Pietrasantina 123, 56122 Pisa, Italy, Mediobanca S.p.A, Piazzetta E. Cuccia 1, 20121 Milano, Italy

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