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Event Driven Trading and the 'New News'

David Leinweber

Leinweber & Co.

Jacob Sisk

Thomson Reuters

June 7, 2011

Journal of Portfolio Management, Vol. 38, No. 1, 2011

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. The IBM computer Watson’s overwhelming Jeopardy victory demonstrated how good machines can get at this. News analysis is a focus of language technology in finance. This paper includes event studies and US portfolio simulation results are shown for “pure news” signals applied over 2006-2009, and a true out of sample period in 2010, which showed alpha in excess of 10%/year. Other applications of automated qualitative analysis for information-driven social media client relations are described.

Number of Pages in PDF File: 20

Keywords: Market Efficiency, News Media, Qualitative Information, Language, Event Trading, NLP, public news, media coverage, stale information, overreaction, return reversal

JEL Classification: G12, G14, M41

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Date posted: November 3, 2011  

Suggested Citation

Leinweber, David and Sisk, Jacob, Event Driven Trading and the 'New News' (June 7, 2011). Journal of Portfolio Management, Vol. 38, No. 1, 2011. Available at SSRN: https://ssrn.com/abstract=1952914

Contact Information

David Leinweber (Contact Author)
Leinweber & Co. ( email )
13469 Campus Drive
Oakland, CA 94619
United States
6266444514 (Phone)
HOME PAGE: http://nerdsonwallstreet.typepad.com/
Jacob Sisk
Thomson Reuters ( email )
3 Times Square
New York, NY 10036
United States
Feedback to SSRN

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References:  16
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