May 2011
Beginner to intermediate
384 pages
12h 28m
English
Content preview from The Handbook of News Analytics in FinanceBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.
6
Relating news analytics to stock returns
David Leinweber and Jacob Sisk
ABSTRACT
News analytics measure the relevance, sentiment, novelty, and volume of news. They combine natural language analysis of content with historical and news metadata. Signals from analytics of this type have been shown to be predictive of volatility. Aggregation and filtering of news events can also generate alpha signals for portfolio management. Filters use thresholds set using both absolute and relative measures. This detects investor behavior associated with accumulation of information and changes in sentiment. The analytics described are used to generate investment signals. In practice, they would be combined with forecasts from other quantitative or research sources (e.g., factor, momentum, and earnings). In this chapter, we analyze investment signals derived only from news, an important distinction. Event studies on a broad universe of US equities (segmented by sector and capitalization class) are shown for the period 2003–2008. US portfolio simulation results are shown for these signals applied over 2006–2009. The portfolio simulation, like the event studies, is based on a “pure news” signal, without mixing in other quant signals, which can confuse the question of alpha from news. Both the event studies and portfolio simulation show evidence of exploitable alpha using news analytics.
Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
and much more.
Read now
Unlock full access
More than 5,000 organizations count on O’Reilly
O’Reilly covers everything we've got, with content to help us build a world-class technology community, upgrade the capabilities and competencies of our teams, and improve overall team performance as well as their engagement.Julian F.
I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
I’ve been on the O’Reilly platform for more than eight years. I use a couple of learning platforms, but I'm on O'Reilly more than anybody else. When you're there, you start learning. I'm never disappointed.Amir M.
I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.