Geopolitical#233tier 2experimentalNew

`gdelt event density volatility`

cadence: Dailydata: lowshort only

2017

Extends: Bali, T.G., Brown, S.J., Tang, Y. (2017). "Is economic uncertainty priced in the cross-section of stock returns?" Journal of Financial and Quantitative Analysis 52(6). Also Bloom, N. (2009). "The impact of uncertainty shocks." Econometrica 77(3). GDELT event-density as uncertainty proxy is novel (alphactor 2026-05-20).

Read the paper →

What it checks

When global news event volume spikes 2σ above baseline, realized volatility is about to rise — under-weight (short) cyclical and high-beta names for 3-10 days.

Mechanism

GDELT global event density (events/day, world-aggregate) is a high-frequency proxy for macro uncertainty. Bloom 2009 + Bali-Brown-Tang 2017 show that macro-uncertainty z-scores predict near-term realized-vol. We use GDELT density as a vol-forecast gate: elevated global event density predicts elevated realized vol → short-bias risk-off position on the cyclical / high-beta basket; serves as a position-sizing gate for other families.

No production champion data for this family yet. Stats appear once the discovery pipeline promotes at least one strategy with this family tag, or once a multi-family blend that includes it earns a champion slot.

Signal rule

Sum global daily n_events, z over 90d. z>=+2.0 → SHORT cyclical/high-beta basket. Hold 3/5/10d.

Data dependencies

daily_prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
gdelt_country_tone
Worker data table — see services/worker schema.

Expected edge

Paper alpha: -0.5% to -2.0% over 10d
Paper window: T+0 to T+10d

Target -50 to -200 bps over 10d on qualifying fires; doubles as a position-size gate.

Example tickers where this is likely to fire

SPY QQQ IWM XLY EEM TSLA NVDA AMD COIN ARKK

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

gpr geopolitical riskGeopolitical

Text-based newspaper-archive index of geopolitical risk; spikes precede defense/oil/gold outperformance.

gdelt geopolitical tone shortGeopolitical

A material negative tone-shock in a country where a US-listed multinational has significant revenue exposure → the equity sells off over the next 1-10 trading days. Extends Caldara-Iacoviello 2022's GPR index by tightening the link to a specific equity's country footprint (v1 uses a curated map; v2 plugs into firm_country_exposure_quarterly).

vix term structureFutures-Positioning

VX1/VX3 slope predicts S&P returns 5-20d. Steep contango → calm → drift up. Backwardation → vol-shock → underperformance.

macro regimeMacro

Beyond regime_overlay (#10) which uses VIX + SPY trend, this family keys off the macro regime detected from FRED data: term-spread inversion (10Y−2Y < 0), credit-spread widening or compression (BAA−10Y z), and Fed funds cycle direction. Single-name version: gate the simple long-trend signal (SMA50 > SMA200) on the FRED macro regime — full long only in risk-on, half-size in neutral, flat in risk-off, short in inversion.

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gdelt event density volatility