Event Driven Trading and the 'New News' (SF QWAFAFEW Movie Supplement)

Victim of Technology

I'm reading "Glasshouse", a fine cyber SF book by Charles Stross that has far future historians looking back on the mid 20th to 21st centuries as a "dark age", since all records became digital and vanished in a maze of obsolete incompatible technologies.

We don't have to wait for the 25th century to share the love on this. I confidently loaded up a USB key with fancy moving slides and videos in two flavors for a QWAFAFEW* talk in San Francisco. In moving from a mac to the windows laptop, everything went dark except the pdf version of the slides.

Simulation of a News Driven Portfolio

The talk was:

There are two information revolutions underway in trading and investing.    Most of the headlines focus on structured quantitative market information at ever higher frequencies. The other technology revolution in trading and investing is driven by qualitative, textual and relationship information.  This is important for people who make their living in finance on scales longer than microseconds, even days.

What constitutes “news” is a moving target, as vendors and investors expand and automate collection from primary and proprietary sources, including social media.  This is increasingly used for event driven alpha signals. Demonstrations of this using commercial “state of the practice” news systems from Thomson Reuters are a part of this talk. A model sequestered for nearly a year and simulated, with trading costs, on unseen price and news produced an alpha exceeding 11% over its unseen test period, the first three quarters of 2010.

 

This last point, of putting the model in "cold storage" and then testing on unseen data would be a good standard for all papers of this sort, many of which appear (along with ours in the Winter 2011 issue) of the Journal of Portfolio Management. Alas, application of this rule would require a name change to the Pamphlet of Portfolio Management.

The slides from the talk are here.

The draft paper, which appears in final form in the Fall 2011 Journal of Portfolio Management, is here.

 

The Missing Movies

The movies were for an Event Study Explorer, a visual, interactive "quantextual" model building tool used to find alpha in news and other sources. Without the videos, I broke a few moves pointing to the still slides and pretending to fill in the motion. That worked poorly, so I am posting the four small movie segments on the Event Study Explorer, built in Spotfire, here. It addresses many of the (valid) critiques of event studies. The narration is by my collaborator and coauthor, Jacob Sisk, of Thomson Reuters.

The movies, in four segments, follow the still picture below.

Event Study Explorer Intro

Filter Description

Consistency over Time

Using Topic Code Metadata

 

All of this is available for test drives, contact Rich Brown at Thomson Reuters News Analtyics. (richard.w.brown@thomsonreuters.com)

 

 

 

 ---------

*QWAFAFEW is the torturously arrived at name for a group of quants & Wall Street nerds who wanted to have tech talks with beer and snacks. It started in NY in the 80s and has thrived, meeting more or less monthly in nine cities.

Comments

[office 2007 key]

many of which appear (along with ours in the Winter 2011 issue) of the Journal of Portfolio Management.

[chemise abercrombie]

Wow! c'est très mignon! Merci pour le tutoriel! J'ai trouvé ce blog instructif et intéressant. Son très utile et bien informés. Je tiens à vous remercier pour les efforts que vous avez fait en écrivant cet article. :) Continuez comme ça!

[UGGs Clearance]

You information sharing has always been beneficial for others. I would glad to see that you continue your informative work forever.

[Toni Vallen]

Agreed with Most of the headlines focus on structured quantitative market information at ever higher frequencies.

[Burberry Outlet]

I'm From Barcelonaare potentially the most deceptive pop music act

[options trading]

I love science fiction books. I have to agree with the novel, and stress that the last century and this one will bring us to the loss of all the History that we know.

[tradestool.co.uk]

Similar allegations can be levelled if an employer discriminates based on trade union membership. Attempts by an employer, often with the help of outside agencies, to prevent union membership amongst their staff is known as union busting.

[Lalli Lehkosuo]

The sample graph in 2010 is really nice,all i can say it has a very nice percent for portfolio,In Finland business and investing is really successful in 2010 in fact it is because of good planning an d well manage of portfolio.

[New Adidas Shoes]

good post.Looks like you are a specialist on this because you just made it so easy to be with you, motivated me to learn more on the subject!

[mazda rx 8 for sale]

In the context of the novel, "glasshouse" refers to a military prison. The polity in which the bulk of the story takes place was formerly a high-security facility for war criminals. The term was first used to describe the glass-roofed military detention barracks based in Aldershot, UK, in the mid-19th century.

[female obgyn]

We have explained when you will start experiencing the symptoms of pregnancy.

[search jobs australia]

While it doesn’t seem that there is much to be done for anxiety attacks or pre-interview nausea, you can help yourself by making a good impression.

[event registration]

Cool website buddy I am gona suggest this to all my list of contacts.

[payday advance]

Thanks for sharing this information its really nice.

[dui penalties]

Your articles are more than wow!

[car service]

Your site is very informative and your articles are wonderful.

[Business Logo Design]

Not everyone can provide information with proper flow. Good post. I am going to save the URL and will definitely visit again.