Event Driven Trading and the 'New News'

Posted: 21 May 2019

Date Written: June 7, 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.

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

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, https://doi.org/10.3905/jpm.2011.38.1.110, Available at SSRN: https://ssrn.com/abstract=1952914

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