Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Look up keyword
Like this
6Activity
0 of .
Results for:
No results containing your search query
P. 1
Incorporating_News_Analytics_Into_Quantitative_Investment_and_Trading_Strategies

Incorporating_News_Analytics_Into_Quantitative_Investment_and_Trading_Strategies

Ratings: (0)|Views: 247|Likes:
Published by analystbomber

More info:

Published by: analystbomber on Feb 26, 2011
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

04/27/2011

pdf

text

original

 
INCORPORATING NEWS ANALYTICS INTO QUANTITATIVEINVESTMENT AND TRADING STRATEGIES
Rich BrownGlobal Business ManagerMachine Readable NewsLondonNovember 17, 2010
 
EXPLOITING NEWS CONTENT
News is emerging as differentiated, value generating content set
– Quant strategies – all trading frequencies– Human decision support – especially with analytics
Key uses
– Speed – beat the humans, beat the machines– Manage scale and scope of events affecting portfolio– Risk management and loss avoidance
Thomson Reuters Machine Readable News
– Historical data to back test and build algorithms– Real-time feeds for deployment, including ultra-low latency feed– Analytic add-ons which convert qualitative text into quantitative data
 
EXPLOITING NEWS CONTENT
News flow is a good indicator of volume andvolatility.
Pricing movements accompanied by news tend tobe momentum in nature; those with a lack of newstend to reverse to average trends.
The market tends to overreact when there is a lot ofnews on something and under-react when there is asmall quantity of news.
For direction and magnitude, find cause:effectrelationships

Activity (6)

You've already reviewed this. Edit your review.
1 hundred reads
Guy Bazelet added this note
SensoBeat (www.sensobeat.com) tracks the spreading of stock-related news items in real time.
maxwelton9938 liked this
maxwelton9938 liked this
Raghu Nayak liked this
Raghu Nayak liked this

You're Reading a Free Preview

Download
scribd
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->