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Developing News Sentiment Signals for Medium Frequency Trading Strategies

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Published on May 29, 2014

http://conferences.unicom.co.uk/senti...

- Firm-level aggregation of news sentiment as a stock selection signal for medium-frequency trading strategies (1-5 day investment horizons) in ex-US developed markets
- Impact of news events on intra-day trading volumes, and appropriate liquidity constraints
- Alpha decay from news sentiment signals, and optimal security holding periods

Presenter: Elijah DePalma, Thomson Reuters

Elijah DePalma is currently working in the most exciting business at Thomson Reuters - Machine Readable News and News Analytics - generating alpha over mid- to long-term trading horizons utilizing innovative quant signals from financial newswires and social media sources. He started his career with Thomson Reuters in Feb 2012, initially providing research support for Thomson Reuters MarketPsych Indices - a compelling product which provides macro-level, financial insights based on principles of modern psychology and behavioral finance. Prior to coming to Thomson Reuters, he completed a PhD in Applied Statistics from University of California, Riverside, followed by a Visiting Director position in Paris developing behavioral econometric models in support of MIFID compliance

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