Algorithmic Trading Group Forum - T/R Innovations in Quantitative Research Event

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Co0olCat

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T/R Innovations in Quantitative Research Event
07/10/08 at 12:30:28

Yesterday (July 9, 2008) I have attended Thomson Reuters Forum Event on Innovations in Quantitative Research Event: http://financial.thomsonreuters.com/quants

Unofficial topic of this event is the role of news (verbal information in general) on profitability of systematic trading and efficiency of algorithmic trading. It looks like that verbal information is a new domain in quantitative research. Lucky for us research in using Machine Learning is at advanced stage. There are numerous statistical and AI techniques to process increasing flow of news. Here are the most prominent methods: Naive Bayes Classification, k-NN, SVM and, of course, ANN.

A year ago, when I started my work on News classification there were close to none number of vendors with API for news reading. Now each data vendor works on this functionality: Reuters, Dow Jones, Bloomberg.

The question is... is it too late to join the "gold" rush in news domain or... too early?

Comments...

Regards,
T.

"Yesterday is history. Tomorrow is a mystery. But today is a gift, and that is why it's called the present."

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Maltamir

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Re: T/R Innovations in Quantitative Research Event
Reply #1 - 07/10/08 at 12:59:28

I know Pr. Massimo TIVEGNA research close to this subject. It mainly deals with the impact of news on financial and FX market , trying to quantify this impact :
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« Last Edit: 07/11/08 at 11:04:59 by Co0olCat »

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Co0olCat Forum Moderator Offline Posts: 128 Gender:	Re: T/R Innovations in Quantitative Research Event Reply #2 - 07/11/08 at 14:33:07 For those of you who wanted to participate in Thomson/Reuters forum there is a podcast: http://http.brighttalk.edgesuite.net/http.brighttalk/thomson_reuters/ThomsonReut... In addition, there is interesting research report on News and Algo trading (see research section of our forum).
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qroach Full Member Offline Posts: 102 London Gender:	Re: T/R Innovations in Quantitative Research Event Reply #3 - 07/11/08 at 16:44:10 Even if you don't use news for generating trading signals, you have to take their release into account to, perhaps, exclude or transform time series at some periods. Or to stop/start trading altogether. So, I guess, everybody will want to use their API to some degree...
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Max F Dama Newbie Offline Posts: 12 Berkeley, CA Gender:	Re: T/R Innovations in Quantitative Research Event Reply #4 - 07/18/08 at 05:45:24 I think it would take an ultra-low latency system to trade on the news. It is useful as an event to signal the need for a test for a regime-change. Basically what Yury is saying in other words.
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