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.
6.9 SUMMARY AND AREAS FOR ADDITIONAL RESEARCH
We have shown that there is exploitable alpha in news. News analytics produce results superior to naive “buy on the good news, sell on bad” strategies. This is shown in both event studies and historical portfolio simulation.
6.9.1 Directions for future research. Is this just for quants?
The effect of these stringent filters is to reduce the firehose of news events to a much smaller flow of significant events. In this work, we have focused on quantitative machine-driven approaches using those events as signals.
Modern visualization and information extraction tools, relatives of the Event Study Explorer shown here, deliver this information in a way that is useful for judgment-driven fundamental investing as well. Protoype systems based on “sentiment indices” calculated across countries, sectors, capitalization classes, and styles can act as intelligence amplification (IA) tools for investors of all flavors.
In the quant sphere, this study has only scratched the surface of what can be done with the RNSE feed. Even restricting one's attention to “slow” alpha, accumulating over days to months, the RNSE feed provides an incredibly rich array of features from which to build detectors for longer term arbitrage opportunities.
Intentionally omitting portfolio construction techniques and “pre-news” analysis, the following are among the research projects that the authors find most compelling using RNSE output as source data:
- Sentiment surprise ...
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.