The Handbook of News Analytics \ in Finance
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1 The Handbook of News Analytics \ in Finance Edited by Gautam Mitra and Leela Mitra WILEY A John Wiley and Sons, Ltd, Publication
2 Preface Acknowledgements About the editors About the contributors Abbreviations and acronyms xiii xvii xix xxi xxv 1 Applications of news analytics in finance: A review 1 Leela Mitra and Gautam Mitra 1.1 Introduction News data ' Data sources Pre-analysis'of news data Turning qualitative text into quantified metrics and time-series Models and applications Information flow and computational architecture Trading and fund management, Monitoring risk and risk control Desirable industry applications Summary and discussions 24 l.a Appendix: Structure and content of news data 25 l.a.l Details of Thomson Reuters News Analytics equity coverage and available data 25 l.a.2 Details of RavenPack News Analytics Dow Jones Edition: Equity coverage and available data 30 l.b References 36
3 PART I QUANTIFYING NEWS: ALTERNATIVE METRICS 41 2 News analytics: Framework, techniques, and metrics Sanjiv R. Das 2.1 Prologue 2.2 Framework 2.3 Algorithms Metric! Discussion References Crawlers and scrapers Text pre-processing Bayes Classifier Support vector machines Word count classifiers Vector distance classifier Discriminant-based classifier Adjective-adverb classifier Scoring optimism and pessimism Voting among classifiers Ambiguity filters Network analytics Centrality Communities. Confusion matrix Accuracy False positives Sentiment error Disagreement Correlations Aggregation performance Phase lag metrics Economic significance Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices 73 Alexander D. Healy and Andrew W. Lo 3.1 Introduction, Literature review Data News data Foreign exchange data A framework for real-time news analytics Assigning scores to news A natural extension to alerts Creating keyword and topic code lists Algorithmic considerations 79
4 3.5 Validating Event Indices Event analysis Examples of event studies Testing for a change in mean Levene's Test for equality of variance The x 2 test for goodness of fit News indices and FX implied volatility Data pre-processing 89 ; Implied volatility events v Event study analysis through September Conclusion 92 3.A Appendix A.1 Properties of foreign exchange quote data A.2 Properties of Thomson Reuters NewsScope Data A.3 Monte Carlo null distributions of the ^-statistic B References 108 Measuring the value of media sentiment: A pragmatic view 109 Marion Munz 4.1 Introduction The value of news for the US stock market News moves markets News moves stock prices News vs. noise Regulated vs. unregulated news Regulated news Unregulated news The news component of the stock price Materiality is near Size does matter Corporate senior management under the gun A case for regulated financial news media / Wall Street analysts may create "material" news Traders may create news Earnings news releases News sentiment used for trading or investing decisions News sentiment systems Backtesting news sentiment systems, The value of media sentiment Media sentiment in action Conclusion 128 How news events impact market sentiment 129 Peter Ager Hafez 5.1 Introduction Market-level sentiment Data and news analytics 131
5 5.2.2 Market-level index calculation Strategy and empirical results Industry-level sentiment Data and news analytics Industry-level index calculation Strategy and empirical results A directional industry strategy Conclusion 143 ' 5.A Market-level sentiment data A.1 CRS: Company Relevance Score A.2 ESS: Event Sentiment Score 144 ' 5.A.3 ENS: Event Novelty Score B Industry-level sentiment data B.I Company Relevance Score B.2 WLE: Word and phrase detection B.3 PCM: Projections, corporate news B.4 ECM: Editorials, commentary news B.5 RCM: Reports, corporate action news B.6 VCM: Merger, acquisitions, and takeover news C References 145 PART II NEWS AND ABNORMAL RETURNS Relating news analytics to stock returns 149 David Leinweber and Jacob Sisk 6.1 Introduction Previous work Behavioral basis Risk management and news Broad long-period analysis of the relation between news and stock returns ' News data structure and statistics Sample news data Descriptive news statistics and trends Improving news analytics with aggregation Event studies News analytic parameters for these studies Adjusting aggregate event parameters and thresholds, and segmentation by sector Adjusting sentiment thresholds Refining filters using interactive exploratory data analysis and visualization Information efficiency and market capitalization US portfolio simulation using news analytic signals Investment hypothesis Portfolio construction 164
6 6.7.3 Performance Monthly performance Portfolio characteristics Return distribution Portfolio beta and market correlation Discussion of RNSE and portfolio construction Summary and areas for additional research Directions for future research. Is this just for quants? Acknowledgments. V References ^. _ All that glitters: The effect of attention and news on the buying behavior of individual and institutional investors 173 Brad M. Barber and Terrance Odean 7.1 Related research Data Sort methodology Volume sorts Returns sorts News sorts, Results Volume sorts \ Returns sorts News sorts Volume, returns, and news sorts Size partitions Earnings and dividend announcements Short-sale constraints Asset pricing: Theory and evidence Conclusion Acknowledgments References The impact of news flow on asset returns: An empirical study 211 Andy Moniz, Gurvinder Brar, Christian Davies, and Adam Strudwick 8.1 Background and literature review Guided" tour Aspects of news flow datasets, Timeliness of news Relevance of news Classification of news Independence of news Informational content of news Understanding news flow datasets Does news flow matter? News flow and analyst revisions Designing a trading strategy
7 8.6.1 Turning a dataset into a trading signal How to define the event? What is the informational content of the event? What is the holding period? Summary and discussions References Sentiment reversals as buy signals 231 ' John Kittrell 9.1 Introduction '. _ The quantification of sentiment " Sentiment reversal universes Monte Carlo-style simulations Conclusion Acknowledgments References 244 PART III NEWS AND RISK Using news as a state variable in assessment of financial market risk 247 Dan dibartolomeo 10.1 Introduction " The role of news A state-variable approach to risk assessment A Bayesian framework for news inclusion Conclusions References Volatility asymmetry, news, and private investors 255 Michal Dzielinski, Marc Oliver Rieger, and Tonn Talpsepp 11.1 Introduction What causes volatility asymmetry? ' Measuring volatility asymmetry Volatility 1 asymmetry comparison Market-wide causes for volatility asymmetry Volatility asymmetry, news, and individual investors Who makes markets volatile? Google and volatility Who's in the market when it becomes volatile? Conclusions Acknowledgments References Firm-specific news arrival and the volatility of intraday stock index and futures returns 271 Petko S. Kalev and Huu Nhan Duong 12.1 Introduction 271
8 12.2 Background literature Data Results Conclusions A Technical appendix B References Equity portfolio risk estimation using market information and sentiment 289 Leela Mitra, Gautam Mitra, and Dan dibartolomeo 13.1 Introduction and background " Model description ' 1 Updating model volatility using quantified news Computational experiments Study I Study II Discussion and conclusions Acknowledgements A Sentiment analytics overview A.I Tagging process A.2 Sentiment classifiers A.3 Score calculation A.4 Summary of classifiers and scores ' B References 303 PART IV INDUSTRY INSIGHTS, TECHNOLOGY, PRODUCTS AND SERVICE PROVIDERS Incorporating news into algorithmic trading strategies: Increasing the signalto-noise ratio 307 Richard Brown So, how can one incorporate news into algorithmic strategies to improve trading performance? 307 So, how does one increase the signal-to-noise ratio, ensuring protection from unforeseen exposures without an excessive number of halts or items to review?. 308 Sounds logical, right? So how exactly can this be done? 308 So what about offensive strategies? How can one generate alpha using news? Are you still trading without news? 311 Armando Gonzalez The underpinnings of news analytics 312 Quantcentration and news 312 Detecting news events automatically 313 Finding "liquidity" in the news 314
9 16 News analytics in a risk management framework for asset managers 315 Dan dibartolomeo 17 NORM towards a new financial paradigm: Behavioural finance with newsoptimized risk management 319 Mark Vreijling and Thomas Dohmen 17.1 Introduction The problem of incomplete information in market risk assessment 319 ' Refining VaR and ES calculation using semantic news analysis The implementation of semantic news analysis NORM goals NORM uses semantic news analysis technology Conclusion: NORM contribution to risk assessment Question and answers with Lexalytics 323 Jeff Catlin 19 Directory of news analytics service providers 327 Event Zero 328 InfoNgen 330 Kapow Technologies 332 Northfield Information Services, Inc. '. 334 OptiRisk Systems 336 RavenPack 338 SemLab BV 340 The Chartered Institute for Securities & Investment 342 Thomson Reuters 344 Index 347
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