In the report, Cahan and his co-authors explore news sentiment signals, and argue that “like any data set, [news sentiments] require a great deal of effort to find ways it can add value…[O]ne needs to do more than just buy positive sentiment stocks and sell negative sentiment stocks.” Indeed, “textual sentiment needs to be evaluated in the context of the market reaction to that sentiment.”
The whitepaper goes on to look at:
- Harnessing unstructured data in quantitative strategies
- Why the web? Is it really so different from financial newswires?
- Backtesting analysis
- Using news and the web to enhance reversal strategies
- News and the lottery factor
- Can news flow enhance momentum too?
- News-aware reversal and momentum
- Building better reversal and momentum signals
- All publicity is good publicity?
For more information on this, download the whitepaper now.
Rochester Cahan will be presenting at the upcoming Trading Show Chicago, in the Quant Invest stream, on the topic, “Unstructured Data – Hype or Real Opportunity?” Download the brochure for more information.