Gdelt Event Density Volatility
In plain terms
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.
How it works
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.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Gdelt country tone
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- -0.5% to -2.0% over 10d
- Tested over
- 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
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
GPR spikes → long defense/oil/gold over 1-3 months.
When the tone of news about a country tanks (z below -1.5), short the US-listed multinationals with revenue exposure to that country.
Front-month VIX cheap vs 3-month (contango) means calm — SPY drifts up. When it inverts (backwardation), panic mode.
Uses Fed-funds, term spread, and credit spread (FRED data) to flag risk-off vs risk-on regimes and scale exposure accordingly.
Explore Gdelt Event Density Volatility on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.