An Impact Measure for News: It's Use in (Daily) Trading Strategies

The Handbook of Sentiment Analysis in Finance (2016), Chapter 13.

27 Pages Posted: 30 Nov 2020

See all articles by Xiang Yu

Xiang Yu

OptiRisk Systems

Gautam Mitra

OptiRisk Systems

Cristiano Arbex-Valle

OptiRisk Systems

Tilman Sayer

Advanced Logic Analytics

Date Written: April 1, 16

Abstract

We investigate how “news sentiment” in general and the “impact of news” in particular can be utilized in designing equity trading strategies. News is an event that moves the market in a small way or a big way. We have introduced a derived measure of news impact score which takes into consideration news flow and decay of sentiment. Since asset behavior is characterized by return, volatility and liquidity we first consider a predictive analytic model in which market data and impact scores are the inputs and also the independent variables of the model. We finally describe the trading strategies which take into consideration the three important characteristics of an asset, namely, return, volatility and liquidity. The minute-bar market data as well as intraday news sentiment metadata have been provided by Thomson Reuters.

Keywords: news sentiment, news impact score, trading strategies, volatility, liquidity

JEL Classification: C22, C44, C53, G01, G02, G32, Z23

Suggested Citation

Yu, Xiang and Mitra, Gautam and Arbex-Valle, Cristiano and Sayer, Tilman, An Impact Measure for News: It's Use in (Daily) Trading Strategies (April 1, 16). The Handbook of Sentiment Analysis in Finance (2016), Chapter 13., Available at SSRN: https://ssrn.com/abstract=3706827 or http://dx.doi.org/10.2139/ssrn.3706827

Xiang Yu

OptiRisk Systems ( email )

UNICOM R&D House
One Oxford Road
Uxbridge, UB9 4DA
United Kingdom

Gautam Mitra (Contact Author)

OptiRisk Systems ( email )

The Atrium, Suites 536 & 537
1 Harefield Road
Uxbridge, UB8 1EX
United Kingdom

Cristiano Arbex-Valle

OptiRisk Systems ( email )

UNICOM R&D House
One Oxford Road
Uxbridge, UB9 4DA
United Kingdom

Tilman Sayer

Advanced Logic Analytics

London
United Kingdom

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