3.3 DATA

Information needed for real-time investment decisions reaches traders through a multitude of news sources such as Thomson Reuters, Bloomberg, and CNN. The event indices described in this chapter reflect the issuance of market-moving information contained in the Thomson Reuters NewsScope Archive. As a proxy for the universe of news sources available to traders, we chose the English-language news from the Thomson Reuters NewsScope feed and, in particular, we have focused on news “alerts” (i.e., the quick news flashes that are issued “[w]hen a newsworthy event occurs”—according to the Reuters NewsScope Archive User Guide, V1.0). The basic empirical properties of this dataset are described in Sections 3.1 and 3.A.2 (see appendix on p. 102).

To calibrate the parameters of our news event indices, we use real-time Thomson Reuters foreign exchange spot data, which consist of interbank quotes for 45 currency pairs from January 1, 2003 through July 31, 2007. The characteristics of this dataset are summarized in Sections 3.2 and 3.A.1 (see appendix on p. 100).

3.3.1 News data

Some examples of Thomson Reuters NewsScope alerts include

 02 AUG 2 007 04:44:26.155 TSUNAMI WARNING ISSUED FOR JAPAN'S WESTERN HOKKAIDO COAST NHK JP ASIA NEWS DIS LEN RTRS 17 AUG 2 007 12:16:31.344 FED SAYS DATA SUGGESTS U.S. ECONOMY HAS CONTINUED TO EXPAND AT MODERATE PACE US WASH MCE FED GVD DBT PLCY STIR INT CEN EU WEU FR FIN BNK FRX MTG ECB LEN RTRS 22 AUG 2007 20:26:57.587 MOODY'S DOWNGRADES RATINGS OF ...

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