As news becomes an ever more important driver in today's financial markets and more notably with the use of news within automated trading, Thomson Reuters is making several reports available to provide further insight into the use of automated news analysis.

Some background on these reports:

  1. ‘Event Indices’ – powering news-based algorithms (Updated Jan '09)

    This whitepaper focuses on detailed analysis undertaken in the creation of the Event Indices (EI) product release. EI is an integrated framework of event analysis consisting of a set of real-time news event indices designed to show the impact of news, and especially of unusual news events, on specific assets and markets.

  2. ‘News Research Roundtable Abstracts and Presentations’

    Thomson Reuters hosted an informal news analysis research roundtable to discuss various research efforts underway by Thomson Reuters employees, external consultants, clients, and prospects who are examining the impact and effect that news has on the financial markets. The keynote speaker presentations focused both on very short-term reaction (in seconds and milliseconds) and on the longer-term signals (60-100 days) for returns and volatility, highlighting the high frequency and lower frequency applicability of machine readable news services.

  3. ‘News Analysis Research Guide’

    This report contains references to academic and practitioner research discussing the impact of news and events on trading and investment strategies. Abstracts from 19 original papers that examine news based trading and investment signals are included.

  4. BSAS ‘Quantitative Investing’ Seminar Presentation

    With rising interest in using news to power investment and trading models, various academic and practitioner research efforts, which investigate the impact of news and events on the market, are underway. This presentation, delivered at the Boston Security Analysts Society Quantitative Investment Forum, looks at these efforts and perspectives on using sentiment and other news analytics to power quantitative strategies.

  5. ‘Relating News Analytics to Stock Returns’ Research Paper

    In this paper presented at the 2010 CARISMA Conference, David Leinweber and Jacob Sisk analyze investment signals derived only from news. Event studies (segmented by sector and capitalization class) and portfolio simulation results are shown for these signals applied to a broad universe of US equities over 2004-2009. Preliminary event study results for other global equity markets are also included.

  6. ‘Signal Processing: Beyond the headlines’ Research

    In this research Deutsche Bank shows that quantified news sentiment can offer a relatively uncorrelated new alpha source for quantitative investors. They show how to use advanced learning-type models to extract this alpha.

  7. ‘Incorporating News Analytics into Investment and Trading Strategies’ Presentation

    Rich Brown, Global Business Manager, Machine Readable News delivered this content at the QWAFAFEW meeting on August 24, 2010 in New York.

To find out more how Thomson Reuters Machine Readable News can help your business visit the site for more information or email mrn@thomsonreuters.com


 

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