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Enabling Sophisticated Text Mining

Enabling Sophisticated Text Mining

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Published by calibrateconfidence

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Published by: calibrateconfidence on Nov 19, 2012
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12/04/2012

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 Financial Text Minin
 Research Analyst, Sirca
BackgroundResearch StrategiesObstacles
 
Efficient Market Hypothesis
 –Asset Price reflects all available information
Sources of Information
 –rang aa
Numerical (i.e., Price, Volume, etc.)
 –News
Textual (i.e., Macroeconomic Announcements,Earnings Announcements, Press Announcements)
Purpose of Market Efficiency Research
 –Academic
Evaluate efficiency of marketSpeculate reasons for supposed inefficiencies (Behavioural
 –Shiller, R J (2003) From Efficient Markets Theory to Behavioral Finance. Journal of EconomicPerspectives 17, 83-104.
 – 
Exploit market inefficiencies for profit (Algorithmic traders)Manage Risk (Fund Managers)Market Regulation (i.e., prevent insider trading)
 
Limitations of Market Efficiency Research
 –Many factors can contribute to the efficiency of a market
Some unmeasurable
 –Data
AvailabilityCostReliability
 –Hih Freuenc Research
Noise is commonComputationally expensive to identify patterns
Sources of High Frequency Trading Data
 –Financial Data Providers
Thomson ReutersBloomberg
ources o ews
 –Newspapers –  –Governments (Macroeconomic Announcements) –FinancialDataProviders 
 
Thomson ReutersBloomberg

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