O'Reilly logo

The Handbook of News Analytics in Finance by Leela Mitra, Gautam Mitra

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

3.8 CONCLUSION

The importance of real-time news to the investment process has been well established, but until now there has been no systematic approach that integrates news with investments. The Thomson Reuters NewsScope Event Indices provide a convenient and powerful translation of qualitative information to quantitative signals using Thomson Reuters NewsScope data calibrated to foreign exchange spot data. The significance of the indicated market impact was verified using econometric event studies. Finally, an analysis comparing the volatility-forecasting capabilities of event indices and implied volatility indices suggested that they provide complementary information.

In ongoing research, we plan to construct customized combinations of the 45 base indices to suit a variety of applications (e.g., trading, risk management, and regulatory oversight). Moreover, we are developing a set of adaptive algorithms to automate the process by which new indices are created and old indices are updated to reflect changing market conditions.

Table 3.3. t-statistics for the significance of each Thomson Reuters NewsScope Event Index with respect to the returns of 16 currency pairs.

image

image

Table 3.4. t-statistics for the significance of each Thomson Reuters NewsScope Event Index with respect to the volatilities ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required