Skip to content
All library documents

Finding News Behind Intraday ETF Volatility

Article Quant Q&A · Author: CharlesM
Read the original

Summary

The document discusses how to investigate news associated with an unusual intraday move in an ETF. It names financial news databases and APIs as possible sources, including services that cover securities belonging to indices and tools that filter incoming articles by user-defined rules. These suggestions point to searching both ETF-specific coverage and news about its constituents or related market events.

The answers also recommend an alternative research workflow: obtain historical intraday ETF prices, calculate volatility at a chosen frequency, and test different event-window and volatility parameters. This lets a researcher identify bursts consistently before comparing them with news timestamps. The discussion is practical rather than a systematic comparison of data vendors. It provides no evidence about source coverage, historical depth, costs, timestamp quality, or whether any particular burst was caused by news; access and usefulness may vary by provider.

Key ideas

  • Financial news databases and APIs can help search for stories associated with ETF price moves.
  • News about an ETF’s index constituents may be relevant to the fund’s volatility.
  • Historical intraday prices can be used to calculate volatility and identify candidate bursts.
  • Researchers can vary sampling frequency and detection parameters to examine event windows.
  • The document does not compare vendors or establish that news caused any particular move.

Tags

EquitiesVolatilityEvent-drivenStatistics
Full text
# News on ETF sector performance


# News on ETF sector performance












I am interested to find historical news (if any) associated with intraday volatility burst in a particular ETFs like ishares IYF (Financials). So say that between 12:00 - 12:10pm, the ETF IYF's stock price is abnormally volatile. What would you suggest is the best database to search the news (if any) associated with this burst in volatility for this particular ETF?

## Answer by Michael WS (score 1)

https://quant.stackexchange.com/a/14295

Briefing.com has an api and ravenpack has data as well to find news for stocks that are members of indices.

## Answer by Jay (score 0)

https://quant.stackexchange.com/a/43418

newsfilter.io provides a real-time financial news API.

You can easily create rules that the system should use to filter all newly incoming articles. For example, you can create a rule as follows





The user interface let's you create such rules very easily (see below)

## Example: Create If/Then Rules

## Example: Real-Time News Stream

Disclaimer: I developed this service as a side project to solve a similar problem that you describe in your question - focused on real-time news rather than historical news.

## Answer by LazyCat (score 0)

https://quant.stackexchange.com/a/43432

Frankly, unless you can find a free source, that does exactly what you want, you're better off finding a historical dataset with intraday ETF prices, say with 5min resolution, and computing volatility yourself - that way you can experiment with different parameters too.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.