Book description
The Handbook of News Analytics in Finance is a landmark publication bringing together the latest models and applications of News Analytics for asset pricing, portfolio construction, trading and risk control.
The content of the Hand Book is organised to provide a rapid yet comprehensive understanding of this topic. Chapter 1 sets out an overview of News Analytics (NA) with an explanation of the technology and applications. The rest of the chapters are presented in four parts. Part 1 contains an explanation of methods and models which are used to measure and quantify news sentiment. In Part 2 the relationship between news events and discovery of abnormal returns (the elusive alpha) is discussed in detail by the leading researchers and industry experts. The material in this part also covers potential application of NA to trading and fund management. Part 3 covers the use of quantified news for the purpose of monitoring, early diagnostics and risk control. Part 4 is entirely industry focused; it contains insights of experts from leading technology (content) vendors. It also contains a discussion of technologies and finally a compact directory of content vendor and financial analytics companies in the marketplace of NA. The book draws equally upon the expertise of academics and practitioners who have developed these models and is supported by two major content vendors - RavenPack and Thomson Reuters - leading providers of news analytics software and machine readable news.
The book will appeal to decision makers in the banking, finance and insurance services industry. In particular: asset managers; quantitative fund managers; hedge fund managers; algorithmic traders; proprietary (program) trading desks; sell-side firms; brokerage houses; risk managers and research departments will benefit from the unique insights into this new and pertinent area of financial modelling.
Table of contents
- Cover Page
- Copyright
- Contents
- Preface
- Acknowledgments
- About the editors
- About the contributors
- Abbreviations and acronyms
- Chapter 1: Applications of news analytics in finance: A review
-
Part I: Quantifying news: Alternative metrics
- Chapter 2: News analytics: Framework, techniques, and metrics
- Chapter 3: Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices
-
Chapter 4: Measuring the value of media sentiment: A pragmatic view
- 4.1 INTRODUCTION
- 4.2 THE VALUE OF NEWS FOR THE US STOCK MARKET
- 4.3 NEWS MOVES MARKETS
- 4.4 NEWS MOVES STOCK PRICES
- 4.5 NEWS VS. NOISE
- 4.6 REGULATED VS. UNREGULATED NEWS
- 4.7 THE NEWS COMPONENT OF THE STOCK PRICE
- 4.8 MATERIALITY IS NEAR
- 4.9 SIZE DOES MATTER
- 4.10 CORPORATE SENIOR MANAGEMENT UNDER THE GUN
- 4.11 A CASE FOR REGULATED FINANCIAL NEWS MEDIA
- 4.12 WALL STREET ANALYSTS MAY CREATE “MATERIAL” NEWS
- 4.13 TRADERS MAY CREATE NEWS
- 4.14 EARNINGS NEWS RELEASES
- 4.15 NEWS SENTIMENT USED FOR TRADING OR INVESTING DECISIONS
- 4.16 NEWS SENTIMENT SYSTEMS
- 4.17 BACKTESTING NEWS SENTIMENT SYSTEMS
- 4.18 THE VALUE OF MEDIA SENTIMENT
- 4.19 MEDIA SENTIMENT IN ACTION
- 4.20 CONCLUSION
- Chapter 5: How news events impact market sentiment
-
Part II: News and abnormal returns
-
Chapter 6: Relating news analytics to stock returns
- 6.1 INTRODUCTION
- 6.2 PREVIOUS WORK
- 6.3 NEWS DATA STRUCTURE AND STATISTICS
- 6.4 IMPROVING NEWS ANALYTICS WITH AGGREGATION
- 6.5 REFINING FILTERS USING INTERACTIVE EXPLORATORY DATA ANALYSIS AND VISUALIZATION
- 6.6 INFORMATION EFFICIENCY AND MARKET CAPITALIZATION
- 6.7 US PORTFOLIO SIMULATION USING NEWS ANALYTIC SIGNALS
- 6.8 DISCUSSION OF RNSE AND PORTFOLIO CONSTRUCTION
- 6.9 SUMMARY AND AREAS FOR ADDITIONAL RESEARCH
- 6.10 ACKNOWLEDGMENTS
- 6.11 REFERENCES
- Chapter 7: All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors
- Chapter 8: The impact of news flow on asset returns: An empirical study
- Chapter 9: Sentiment reversals as buy signals
-
Chapter 6: Relating news analytics to stock returns
-
Part III: News and risk
- Chapter 10: Using news as a state variable in assessment of financial market risk
- Chapter 11: Volatility asymmetry, news, and private investors
- Chapter 12: Firm-specific news arrival and the volatility of intraday stock index and futures returns
- Chapter 13: Equity portfolio risk estimation using market information and sentiment
-
Part IV: Industry insights, technology, products, and service providers
- Chapter 14: Incorporating news into algorithmic trading strategies: Increasing the signal-to-noise ratio
- Chapter 15: Are you still trading without news?
- Chapter 16: News analytics in a risk management framework for asset managers
-
Chapter 17: NORM—towards a new financial paradigm: Behavioural finance with news-optimized risk management
- 17.1 INTRODUCTION
- 17.2 THE PROBLEM OF INCOMPLETE INFORMATION IN MARKET RISK ASSESSMENT
- 17.3 REFINING VaR AND ES CALCULATION USING SEMANTIC NEWS ANALYSIS
- 17.4 THE IMPLEMENTATION OF SEMANTIC NEWS ANALYSIS
- 17.5 NORM GOALS
- 17.6 NORM USES SEMANTIC NEWS ANALYSIS TECHNOLOGY
- 17.7 CONCLUSION: NORM CONTRIBUTION TO RISK ASSESSMENT
- Chapter 18: Question and answers with Lexalytics
- Chapter 19: Directory of news analytics service providers
- Index
Product information
- Title: The Handbook of News Analytics in Finance
- Author(s):
- Release date: May 2011
- Publisher(s): Wiley
- ISBN: 9780470666791
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