The New Alchemy: Turning Words into Signals
|
|
|
- Polly Parks
- 5 years ago
- Views:
Transcription
1 The New Alchemy: Turning Words into Signals Federal Reserve Bank of Atlanta 23rd Annual Financial Markets Conference May 7, 2018 Gideon Mann Head of Data Science, Office of the CTO
2 Bloomberg Founded in ,000 Terminal subscribers Customers in 170 countries Over 19,000 employees in 192 locations Over 5,000 software engineers/programmers More reporters than The New York Times + Washington Post + Chicago Tribune
3 Outline Understanding Natural Documents News that Moves the Market Sentiment Signals
4 Understanding Natural Documents
5 Outline Understanding Natural Documents News that Moves the Market Sentiment Signals
6 News Moves Markets
7 Monitoring News
8 Market Moving News : High Speed Data Feed
9 Building A Market Moving News Classifier Supervised learning setup Training data: news stories + positive/negative labels Did this precipitate a price reaction? Positive labels are MMN events Model will provide a probability of price/volume move given a headline Defining a positive MMN event What constitutes a market move (anomaly)? Aligning news headlines to that move (relevance) Find stories tagged with the ticker in the [-5min, +2min] window around the beginning of the anomaly +2 minutes because we might not have the breaking story, but might have similar stories
10 Negative Examples
11 Is this Market Moving News?
12 Is this Market Moving News? Nomura Real Estate Holdings
13 Is this Market Moving News? Nomura Real Estate Holdings
14 MTCH from 05/01 what happened?
15 Outline Natural Documents News that Moves the Market Sentiment Signals
16 Monitoring Sentiment
17 Sentiment Analysis Sentiment analytics data is provided in two ways: 1. Story-level sentiment Generated in real time upon the arrival of news stories or tweets Score: 1 for positive, -1 for negative, and 0 for neutral We generate three way confidences - interpreted as probability 2. Company level sentiment Weighted average of story-level sentiments aggregated at daily and intra-day intervals
18 Sentiment Aggregation Methods We take all stories tagged with a particular company: 1. Each news story or tweet is scored with confidences CC +, CC, CC nn for positive, negative and neutral sentiment respectively 2. Story specific sentiment (polarity score): SS ii = CC + ii CC ii 3. Sentiment Average: NN μμ = ii=1 NN SS ii = ii=1 NN (CC ii + CC ii ) NN = CC + CC 4. Sentiment dispersion = Inter-story variance + story-specific dispersion Simplifies to: CC + + CC μμ 2
19 Sentiment vs. Contemporaneous Return The daily sentiment score is constructed using story level sentiment data over the 24 hours period, and calculated around 9:05 AM every day
20 Strategy: Daily long-short Does the market efficiently price in sentiment information? Strategy Each day before market open, rank all stocks by their daily sentiment Three variations: 1. HML 1/3: Long top 1/3 and short bottom 1/3 stocks 2. HML 5%: Long top 5% and short bottom 5% stocks 3. Prop: Positions proportional to the difference of sentiment scores from its cross-sectional mean Create portfolio at market open and close out at market close We backtest the strategy for Russell 2000 stocks from Jan to Jul
21 Russell 2000 combining news and social With Transaction Costs
22 More Broadly Data for Good Exchange & CPEDS Shift Commission on Work, Workers, and Technology
23 Thank You!
Understanding the News that Moves Markets
Understanding the News that Moves Markets EMNLP 2018 November 3, 2018 Gideon Mann Head of Data Science, Office of the CTO My journey: bad hair to no hair What this talk is not about: How to make money
Index Options and Credit Spreads
Interactive Brokers Webcast Index Options and Credit Spreads December 14, 2016 Disclosure Options involve risks and are not suitable for all investors. Prior to buying or selling an option, an investor
Liquidity Risk Management for Portfolios
Liquidity Risk Management for Portfolios IPARM China Summit 2011 Shanghai, China November 30, 2011 Joseph Cherian Professor of Finance (Practice) Director, Centre for Asset Management Research & Investments
CBOE Equity Market Volatility Indexes
Interactive Brokers Webcast CBOE Equity Market Volatility Indexes March 26, 2014 Presented by Russell Rhoads, CFA Disclosure Options involve risks and are not suitable for all investors. Prior to buying
UNDERSTANDING ML/DL MODELS USING INTERACTIVE VISUALIZATION TECHNIQUES
UNDERSTANDING ML/DL MODELS USING INTERACTIVE VISUALIZATION TECHNIQUES Chakri Cherukuri Senior Researcher Quantitative Financial Research Group 1 OUTLINE Introduction Applied machine learning in finance
Interactive Brokers Webcast. Bearish Spreads. April 19, 2017
Interactive Brokers Webcast Bearish Spreads April 19, 2017 Disclosure Options involve risks and are not suitable for all investors. Prior to buying or selling an option, an investor must receive a copy
Exploiting Market Sentiment to Create Daily Trading Signals
Exploiting Market Sentiment to Create Daily Trading Signals Presented by: Dr Xiang Yu LT-Accelerate 22 November 2016, Brussels OptiRisk Systems Ltd. OptiRisk specializes in optimization and risk analytics
Last week's rating: C Marketperform Percentile Ranking: 53 Data as of 07/06/2018
SCHWAB EQUITY RATING Percentile Ranking: 55 A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91-100 Strongly Underperform SELL PRICE VOLATILITY
Early Peek Advantage?
Early Peek Advantage? Grace Xing Hu, Jun Pan, and Jiang Wang November 29, 2013 Abstract From 2007 to June 2013, a small group of fee-paying, high-speed traders receive the results of the Michigan Index
Last week's rating: C Marketperform Percentile Ranking: 60 Data as of 10/12/2018
SCHWAB EQUITY RATING Percentile Ranking: 61 Data as of 10/19/ A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91- Strongly Underperform SELL
Two-Sample Z-Tests Assuming Equal Variance
Chapter 426 Two-Sample Z-Tests Assuming Equal Variance Introduction This procedure provides sample size and power calculations for one- or two-sided two-sample z-tests when the variances of the two groups
New Developments in Options and Volatility-Based Benchmarks
CBOE Risk Management Conference Europe New Developments in Options and Volatility-Based Benchmarks William Speth, VP Research & Product Development September 26, 2016 Forward Looking Statements This presentation
Two-Sample T-Test for Superiority by a Margin
Chapter 219 Two-Sample T-Test for Superiority by a Margin Introduction This procedure provides reports for making inference about the superiority of a treatment mean compared to a control mean from data
Trading Earnings Reports
Interactive Brokers Webcast Trading Earnings Reports Russell Rhoads Director The Options Institute Disclosure Options involve risks and are not suitable for all investors. Prior to buying or selling an
Two-Sample T-Test for Non-Inferiority
Chapter 198 Two-Sample T-Test for Non-Inferiority Introduction This procedure provides reports for making inference about the non-inferiority of a treatment mean compared to a control mean from data taken
Streaming Real Time Quotes Service User Guide. Version 5.3
Streaming Real Time Quotes Service User Guide www.easecurities.com.hk Version 5.3 Table of Content 1. Introduction... 3 2. System requirement... 4 2.1 Hardware requirements... 4 2.2 Software requirements...
Efficient capital markets. Skema Business School. Portfolio Management 1. Course Outline
Efficient capital markets bertrand.groslambert@skema.edu Skema Business School Portfolio Management 1 Course Outline Introduction (lecture 1) Presentation of portfolio management Chap.2,3,5 Introduction
predictini Next-Generation Market Intelligence and Prediction Platform for Crypto Trading WHITEPAPER
predictini Next-Generation Market Intelligence and Prediction Platform for Crypto Trading WHITEPAPER Feb 27, 2018 TABLE OF CONTENTS Executive Summary 3 Crypto Market Overview and Challenges 5 Predictini
Two-Sample T-Tests using Effect Size
Chapter 419 Two-Sample T-Tests using Effect Size Introduction This procedure provides sample size and power calculations for one- or two-sided two-sample t-tests when the effect size is specified rather
Introduction to VIX Futures. Russell Rhoads, CFA Instructor The Options Institute
Introduction to VIX Futures Russell Rhoads, CFA Instructor The Options Institute CBOE Disclaimer Options and futures involve risks and are not suitable for all investors. Prior to buying or selling options,
One Proportion Superiority by a Margin Tests
Chapter 512 One Proportion Superiority by a Margin Tests Introduction This procedure computes confidence limits and superiority by a margin hypothesis tests for a single proportion. For example, you might
Media content for value and growth stocks
Media content for value and growth stocks Marie Lambert Nicolas Moreno Liège University - HEC Liège September 2017 Marie Lambert & Nicolas Moreno Media content for value and growth stocks September 2017
CBOT Dow Jones U.S. Total Market Index Futures. CBOT DJ U.S. Total Market Index TMI Futures
CBOT Dow Jones U.S. Total Market Index Futures 100 Percent Electronic Large Contract Size Broad Market Coverage CBOT DJ U.S. Total Market Index TMI Futures 1 Stock Index Chartbook Month Ending December
Investor Presentation. November 2012
Investor Presentation November 2012 Disclaimer The following information contains certain forward-looking statements that reflect the Company's current views with respect to certain current and future
OTSUKA CORPORATION. Fiscal year ending December 2017 Nine months (January September) Business Results. October 31, 2017
Fiscal year ending December 217 Nine months (January September) Business Results October 31, 217 OTSUKA CORPORATION Summary of Business Results, January September, 217 (Millions of yen) Consolidated Non-Consolidated
CSC Advanced Scientific Programming, Spring Descriptive Statistics
CSC 223 - Advanced Scientific Programming, Spring 2018 Descriptive Statistics Overview Statistics is the science of collecting, organizing, analyzing, and interpreting data in order to make decisions.
MotiveWave Volume and Order Flow Analysis Version: 1.3
Volume and Order Flow Analysis Version: 1.3 2018 MotiveWave Software Version 1.3 2018 MotiveWave Software Page 1 of 40 Table of Contents 1 Introduction 3 1.1 Terms and Definitions 3 1.2 Tick Data 5 1.2.1
How Investment Managers Use Active Share to Win New Business, Retain Clients and Justify Fees
How Investment Managers Use Active Share to Win New Business, Retain Clients and Justify Fees Including graphics that illustrate eight different ways active share can help managers make the case for their
PERFORMANCE STUDY 2013
US EQUITY FUNDS PERFORMANCE STUDY 2013 US EQUITY FUNDS PERFORMANCE STUDY 2013 Introduction This article examines the performance characteristics of over 600 US equity funds during 2013. It is based on
Returns on Small Cap Growth Stocks, or the Lack Thereof: What Risk Factor Exposures Can Tell Us
RESEARCH Returns on Small Cap Growth Stocks, or the Lack Thereof: What Risk Factor Exposures Can Tell Us The small cap growth space has been noted for its underperformance relative to other investment
SAMPLE REPORT. Contact Center Benchmark DATA IS NOT ACCURATE! In-house/Insourced Contact Centers
h SAMPLE REPORT DATA IS NOT ACCURATE! Contact Center Benchmark In-house/Insourced Contact Centers Report Number: CC-SAMPLE-IN-0617 Updated: June 2017 MetricNet s instantly downloadable Contact Center benchmarks
Monetary Policy Outlook for Mexico
Mr. Javier Guzmán Calafell, Deputy Governor, Banco de México J.P. Morgan Investor Seminar Washington, DC, 8 October 2016 Outline 1 2 3 4 5 Monetary Policy in Mexico Evolution of the Mexican Economy Inflation
SEC 22e-4 Solution for Liquidity
SEC 22e-4 Solution for Liquidity 22E-4 LIQUIDITY RISK MANAGEMENT PROGRAM OBJECTIVES Promote effective liquidity risk management for mutual funds and ETFs Enhance disclosure of fund liquidity and redemption
Guide to the CBOE / CBOT 10 Year Treasury Note Volatility Index (TYVIX SM Index) Part I: Introduction to the TYVIX Index
Guide to the CBOE / CBOT 1 Year Treasury Note Volatility Index ( SM Index) Part I: Introduction to the Index 1 Table of Contents I. Introduction to the Index II. III. IV. Index Calculation Conversion to
Social Media Sentiment and the FX Market
Social Media Sentiment and the FX Market Authors: Ian Domowitz Vice Chairman ITG, Inc. One Liberty Plaza 165 Broadway New York, NY 10006 +1.212.588.4000 ian.domowitz@itg.com Kumar Giritharan Director,
Financial Indices. An Overview. Michael Walker
Financial Indices An Overview Michael Walker The objective of this white paper is to provide an introduction to financial indices. This includes a discussion on the basics of financial indices, an overview
Fundametrics Small Cap Equity Q Performance Summary and Observations
For more on CornerCap s institutional capabilities and past commentaries, click HERE Fundametrics Small Cap Equity Q4 2016 Performance Summary and Observations 4Q 2016 Latest 1 Year Latest 3 Years Latest
Data & analysis of persistence in returns at the fund level. Key takeaways
Data & analysis of persistence in returns at the fund level PitchBook is now a Morningstar company. Comprehensive, accurate and hard-to-find data for professionals doing business in the private markets.
Conover Test of Variances (Simulation)
Chapter 561 Conover Test of Variances (Simulation) Introduction This procedure analyzes the power and significance level of the Conover homogeneity test. This test is used to test whether two or more population
Hedge Strategies Using Options Ahead of USDA June 30 th Reports
Hedge Strategies Using Options Ahead of USDA June 30 th Reports David Hightower June 23, 2014 2014 CME Group. All rights reserved. Options of Options A diverse set of tools to trade around short-term events
1 P a g e. Summary. Aloha, Dr. Arnout, aka Soul, ter Schure
Summary Two weeks ago I was already looking for Ideal lows are in the S&P2670-2600, NASDAQ $7000-6800 and RUT $1460-2480 zones., and last week I determined that Although the ideal c=a target for the S&P500
Portfolio Peer Review
Portfolio Peer Review Performance Report Example Portfolio Example Entry www.suggestus.com Contents Welcome... 3 Portfolio Information... 3 Report Summary... 4 Performance Grade (Period Ended Dec 17)...
Discrete-Event Simulation
Discrete-Event Simulation Lawrence M. Leemis and Stephen K. Park, Discrete-Event Simul A First Course, Prentice Hall, 2006 Hui Chen Computer Science Virginia State University Petersburg, Virginia February
Managed Futures: A Real Alternative
Managed Futures: A Real Alternative By Gildo Lungarella Harcourt AG Managed Futures investments performed well during the global liquidity crisis of August 1998. In contrast to other alternative investment
SAMPLE REPORT. Call Center Benchmark. In-house/Insourced Call Centers DATA IS NOT ACCURATE!
SAMPLE REPORT DATA IS NOT ACCURATE! Call Center Benchmark In-house/Insourced Call Centers Report Number: CC-SAMPLE-IN-0116 Updated: January 2016 MetricNet s instantly downloadable Call Center benchmarks
MotiveWave Volume and Order Flow Analysis Version: 1.4
Volume and Order Flow Analysis Version: 1.4 2018 MotiveWave Software Version 1.4 2018 MotiveWave Software Page 1 of 49 Table of Contents 1 Introduction 3 1.1 Terms and Definitions 3 1.2 Tick Data 5 1.2.1
Improving the Power of Predicted
Improving the Power of Predicted Surprise with TRNA News Sentiment StarMine Research Note Nathan Meixler The StarMine SmartEstimate and Predicted Surprise have long been reliable indicators for anticipating
Print & Digital Subscriber Profile
Print & Digital Subscriber Profile Research conducted in 2014 Questions? Contact sbaker@bizjournals.com Types of Subscribers (100%) Income & Wealth HOUSEHOLD INCOME Average $258K Median $200K 20% 37% Unique
The Merits and Methods of Multi-Factor Investing
The Merits and Methods of Multi-Factor Investing Andrew Innes S&P Dow Jones Indices The Risk of Choosing Between Single Factors Given the unique cycles across the returns of single-factor strategies, how
Ho Ho Quantitative Portfolio Manager, CalPERS
Portfolio Construction and Risk Management under Non-Normality Fiduciary Investors Symposium, Beijing - China October 23 rd 26 th, 2011 Ho Ho Quantitative Portfolio Manager, CalPERS The views expressed
TraderEx Self-Paced Tutorial and Case
Background to: TraderEx Self-Paced Tutorial and Case Securities Trading TraderEx LLC, July 2011 Trading in financial markets involves the conversion of an investment decision into a desired portfolio position.
Risk Control of Mean-Reversion Time in Statistical Arbitrage,
Risk Control of Mean-Reversion Time in Statistical Arbitrage George Papanicolaou Stanford University CDAR Seminar, UC Berkeley April 6, 8 with Joongyeub Yeo Risk Control of Mean-Reversion Time in Statistical
Exploring Data and Graphics
Exploring Data and Graphics Rick White Department of Statistics, UBC Graduate Pathways to Success Graduate & Postdoctoral Studies November 13, 2013 Outline Summarizing Data Types of Data Visualizing Data
Superior Performance Comes from the Ability to be in Sync with Major Price Trends.
Superior Performance Comes from the Ability to be in Sync with Major Price Trends www.trendrating.com Trendrating History Our CEO, Rocco Pellegrinelli began his career as a portfolio manager. He has been
Russell 2000 Index Options
Interactive Brokers Webcast Russell 2000 Index Options April 20, 2016 Presented by Russell Rhoads, Senior Instructor Disclosure Options involve risks and are not suitable for all investors. Prior to buying
Part 5. Quotes Application. Quotes 691
Part 5. Quotes Application Quotes 691 692 AIQ TradingExpert Pro User Manual Quotes Application In This Section Overview 694 Getting Started 695 News headline monitor 696 The quotes monitor 697 Quotes 693
Developments in Volatility-Related Indicators & Benchmarks
Developments in Volatility-Related Indicators & Benchmarks William Speth, Global Head of Research Cboe Multi-Asset Solutions Team September 12, 18 Volatility-related indicators unlock valuable information
Preliminary Results. 22nd February 2018
Preliminary Results 22nd February 2018 Mark Lewis Chief Executive Officer Matthew Price Chief Financial Officer Full year themes Diversified business delivering stable returns Doing a great job for our
Smart Beta: Unlocking key drivers of return
Smart Beta: Unlocking key drivers of return Manuela Sperandeo, Head of EII Specialist Sales EMEA March 2017 For professional clients / qualified investors only Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16
First Half 2014 Volatility Trading Review
Interactive Brokers Webcast First Half 2014 Volatility Trading Review July 16, 2014 Presented by Russell Rhoads, CFA Disclosure Statement Options involve risks and are not suitable for all investors. Prior
Oleg Ruban, Kevin Zhang and Zoltán Nagy. msci.com. China Market Report Analyzing the June Liquidity Squeeze July 2013
Oleg Ruban, Kevin Zhang and Zoltán Nagy Introduction Chinese equities lost more than 14 percent during June 2013 when interbank rates rose rapidly. In this report, we analyze June s losses through the
Top-Down Approach to Stock Selection Using AIQ's Group/Sector Capabilities
Section III. Top-Down Approach to Stock Selection Using AIQ's Group/Sector Capabilities In This Section TradingExpert provides the tools 54 View Market Log for sector rotation 54 Next: view Group Analysis
All data published in this report is available on FactSet. Please contact or FACTSET for more information.
John Butters, Senior Earnings Analyst jbutters@factset.com Media Questions/Requests media_request@factset.com August 10, 2018 Author s Note: The FactSet Earnings Insight report will not be published on
Short Volatility Trading with Volatility Derivatives. Russell Rhoads, CFA
Short Volatility Trading with Volatility Derivatives Russell Rhoads, CFA Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive
Momentum Strategies in Intraday Trading. Matthew Creme, Raphael Lenain, Jacob Perricone, Ian Shaw, Andrew Slottje MIRAJ Alpha MS&E 448
Momentum Strategies in Intraday Trading Matthew Creme, Raphael Lenain, Jacob Perricone, Ian Shaw, Andrew Slottje MIRAJ Alpha MS&E 448 Origin of momentum strategies Long-term: Jegadeesh and Titman (1993)
U.S. Interest Rates Chartbook September 2017
U.S. Interest Rates Chartbook September 2017 Takeaways The FOMC announced the start of the balance sheet normalization process to begin in October while maintained the Fed funds rate target range at 1%-1.25%
Life Fund December 2018
Life Fund December 2018 Aviva Life Aberdeen Multi-Manager Cautious Managed Portfolio AL This factsheet provides factual information only. The information shown should not be used in isolation for making
EVANSTON Budget Priority-Based Budgeting. Ashley King, Interim CFO/City Treasurer Kate Lewis-Lakin, Senior Management Analyst.
EVANSTON 2019 Budget Priority-Based Budgeting Ashley King, Interim CFO/City Treasurer Kate Lewis-Lakin, Senior Management Analyst March 19, 2018 1 AGENDA 2019 Budget Projections General Fund Other Funds
Aviva Pension LGIM Diversified IE/XE
Pension Fund December 2018 Aviva Pension LGIM Diversified IE/XE This factsheet provides factual information only. The information shown should not be used in isolation for making buying and selling decisions.
Intraday Volatility Forecast in Australian Equity Market
20th International Congress on Modelling and Simulation, Adelaide, Australia, 1 6 December 2013 www.mssanz.org.au/modsim2013 Intraday Volatility Forecast in Australian Equity Market Abhay K Singh, David
Uniform Probability Distribution. Continuous Random Variables &
Continuous Random Variables & What is a Random Variable? It is a quantity whose values are real numbers and are determined by the number of desired outcomes of an experiment. Is there any special Random
Date: March 8, :22 am Yahoo - CNET jumps amid gains in Internet stocks
? Date: March 8, 1999-11:22 am Yahoo - CNET jumps amid gains in Internet stocks NEW YORK, March 8 (Reuters) Shares in online publisher CNET Inc. (Nasdaq:CNET - news) rose 24 to 192 early Monday, amid broad
Results of TSE Market Impact View!Trading Simulation
HOW DO ORDER BOOK CHANGES AFFECT INTRA-DAY PRICE MOVEMENTS? Results of TSE Market Impact View!Trading Simulation CMD Laboratory Inc. CHAPTER 1 Trading Simulation Using TMIV Data Contents 1. The Impact
Leveraging Minimum Variance to Enhance Portfolio Returns Ruben Falk, Capital IQ Quantitative Research December 2010
Leveraging Minimum Variance to Enhance Portfolio Returns Ruben Falk, Capital IQ Quantitative Research December 2010 1 Agenda Quick overview of the tools employed in constructing the Minimum Variance (MinVar)
Risk Systems That Read Redux
Risk Systems That Read Redux Dan dibartolomeo Northfield Information Services Courant Institute, October 2018 Two Simple Truths It is hard to forecast, especially about the future Niels Bohr (not Yogi
Stock Forecast Toolbox
Stock Forecast Toolbox An institutional-grade tool for the self-directed trader Overview The Stock Forecast Toolbox is at the core of our research platform. This toolset delivers highly accurate forecasts
A Study of the Relationship between Managerial Operating Decisions by Firms Listed in Tehran Stock Exchange over Firm Life Cycle.
A Study of the Relationship between Managerial Operating Decisions by Firms Listed in Tehran Stock Exchange over Firm Life Cycle Vahideh Jouyban Young Researchers Club, Borujerd Branch, Islamic Azad University,
Quantitative Trading System For The E-mini S&P
AURORA PRO Aurora Pro Automated Trading System Aurora Pro v1.11 For TradeStation 9.1 August 2015 Quantitative Trading System For The E-mini S&P By Capital Evolution LLC Aurora Pro is a quantitative trading
2.0. Learning to Profit from Futures Trading with an Unfair Advantage! Trading Essentials Framework What Are the E-Mini Futures
2.0 Learning to Profit from Futures Trading with an Unfair Advantage! Trading Essentials Framework What Are E-Mini Futures? E-mini futures track the most popular broad-based stock index benchmarks in the
Key Offer details. Non-mandatory offer for all outstanding EDPR shares. Offer period to start on July 6 th and to end on August 3 rd
0 Key Offer details Non-mandatory offer for all outstanding EDPR shares Free Float 22.5% Offer in cash of 6.75/share ( 6.80 adjusted for EDPR s dividend available for payment on May 8, 2017), being this
Market Risk Disclosures For the Quarter Ended March 31, 2013
Market Risk Disclosures For the Quarter Ended March 31, 2013 Contents Overview... 3 Trading Risk Management... 4 VaR... 4 Backtesting... 6 Total Trading Revenue... 6 Stressed VaR... 7 Incremental Risk
Performance Tests of TruValue Labs Volume, Insight, and ESG Activity Signals
1 Performance Tests of TruValue Labs Volume, Insight, and ESG Activity Signals Results for All Country World Ex-US Index (ACWX) 2008-2018 Stephen Malinak, Ph.D. Chief Data and Analytics Officer TruValue
Pension Fund July 2018
Pension Fund July 2018 Aviva Pension Man GLG Japan CoreAlpha IE/XE This factsheet provides factual information only. The information shown should not be used in isolation for making buying and selling
SAMPLE REPORT. Contact Center Benchmark DATA IS NOT ACCURATE! Outsourced Contact Centers
h SAMPLE REPORT DATA IS NOT ACCURATE! Contact Center Benchmark Outsourced Contact Centers Report Number: CC-SAMPLE-OUT-0617 Updated: June 2017 MetricNet s instantly downloadable Contact Center benchmarks
Tradable Data from Market Chatter
Tradable Data from Market Chatter Executive Summary Who is Prattle? + Evan A. Schnidman Ph.D. (Harvard University), Founder + William D. MacMillan Ph.D. (Univ. of Michigan), Founder What is the Fed Index?
Dividend Income Strategy. 999 Vanderbilt Beach Road, Suite 102 Naples, Florida V:
Dividend Income Strategy 3/31/2018 999 Vanderbilt Beach Road, Suite 102 Naples, Florida 34108 V: 866-459-9998 10 Executive Summary Experienced Specialists Since it s inception on October 1 st, 2007,The
Reg. No. :... Code No. : B.B.A. (CBCS) DEGREE EXAMINATION, NOVEMBER Fifth Semester. Business Administration Main
Reg. No. :... Sub. Code : GMBA 5 A B.B.A. (CBCS) DEGREE EXAMINATION, NOVEMBER 2014. Fifth Semester Business Administration Main Elective MANAGEMENT ACCOUNTING (For those who joined in July 2012 onwards)
2018 AAPM: Normal and non normal distributions: Why understanding distributions are important when designing experiments and analyzing data
Statistical Failings that Keep Us All in the Dark Normal and non normal distributions: Why understanding distributions are important when designing experiments and Conflict of Interest Disclosure I have
SUSTAINABLE COMPANIES FOR A BETTER PORTFOLIO
SUSTAINABLE COMPANIES FOR A BETTER PORTFOLIO USING QUALITY AND ESG TO ENHANCE RETURNS By integrating environmental, social and governance (ESG) factors into their portfolios, investors are increasingly
Intermediary Funding Cost and Short-Term Risk Premia
Intermediary Funding Cost and Short-Term Risk Premia Wenhao Li and Jonathan Wallen November 22, 2016 Wenhao Short-Term Risk Premia November 22, 2016 1 / 26 Introduction Question: How is short-term risk
Bullalgo Trading Systems, Inc. Orion NBar Crossover Strategy User Manual Version 1.0 Manual Revision
Bullalgo Trading Systems, Inc. Orion NBar Crossover Strategy User Manual Version 1.0 Manual Revision 20150917 Orion NBar Crossover Strategy The Orion NBar Crossover Strategy is a tool to show the NBar
New Developments in Options and Volatility-Based Benchmarks
CBOE Risk Management Conference Asia New Developments in Options and Volatility-Based Benchmarks Bruce Traan, Director Research & Product Development November 30, 2016 Forward Looking Statements This presentation
Day Trading Strategies. Day Strategies. and Examples. & Risk Management COPYRIGHTED MATERIAL: ANDREW AZIZ (C)
Day Trading Strategies Day Strategies and Examples & Risk Management ANDREW AZIZ SESSION 4 Disclaimer BearBullTraders.com employees, contractors, shareholders and affiliates, are NOT an investment advisory
Academic Research Review. Algorithmic Trading using Neural Networks
Academic Research Review Algorithmic Trading using Neural Networks EXECUTIVE SUMMARY In this paper, we attempt to use a neural network to predict opening prices of a set of equities which is then fed into
Oppenheimer Discovery Mid Cap Growth Fund
Ticker Symbols: OEGAX (Class A shares), OEGYX (Class Y shares), OEGIX (Class I shares) Portfolio Managers Ronald Zibelli, CFA Since 6/07 Justin Livengood, CFA Since 2/14 Client Portfolio Manager Emanuele
Tests for Two Means in a Multicenter Randomized Design
Chapter 481 Tests for Two Means in a Multicenter Randomized Design Introduction In a multicenter design with a continuous outcome, a number of centers (e.g. hospitals or clinics) are selected at random
4. DESCRIPTIVE STATISTICS
4. DESCRIPTIVE STATISTICS Descriptive Statistics is a body of techniques for summarizing and presenting the essential information in a data set. Eg: Here are daily high temperatures for Jan 16, 2009 in
What makes US government bonds safe assets?
What makes US government bonds safe assets? Zhiguo He (Chicago Booth and NBER) Arvind Krishnamurthy (Stanford GSB and NBER) Konstantin Milbradt (Northwestern Kellogg and NBER) ASSA 2016 1 / 11 Motivation
Stock Prediction Using Twitter Sentiment Analysis
Problem Statement Stock Prediction Using Twitter Sentiment Analysis Stock exchange is a subject that is highly affected by economic, social, and political factors. There are several factors e.g. external
The Feed Summer August 18, Curt Covington, SVP Agricultural Finance. Jackson Takach, Economist
The Feed Summer 206 Curt Covington, SVP Agricultural Finance Jackson Takach, Economist Brian Brinch, VP Financial Planning & Analysis August 8, 206 Your Presenters Today Curt Covington SVP of Agricultural