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Measuring the Impact of News on Asset Behaviour and Designing Trading Strategies

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Published on May 20, 2015

This approach takes into consideration news, microblogs and other outputs of social media to create strategies which are shown to be superior to those created using Market Data only. In our approach we take the sentiments of the news stories and social media outputs, cumulate and decay them to create a measurable impact on assets. The tuple (return, volatility, and liquidity) are affected by this impact on an asset and characterizes its behaviour. By considering all the assets in a given index we then construct our trading strategy for the ‘Index Futures’. The back testing results are presented for different market regimes.

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