tag:blogger.com,1999:blog-35364652.post7434857172676710824..comments2024-03-22T10:29:59.088-04:00Comments on Quantitative Trading: News-driven algorithmic tradingErnie Chanhttp://www.blogger.com/profile/02747099358519893177noreply@blogger.comBlogger7125tag:blogger.com,1999:blog-35364652.post-6613561218035489222010-03-21T08:52:31.155-04:002010-03-21T08:52:31.155-04:00Glyphard,
Thank you for your reference. Yes, indee...Glyphard,<br />Thank you for your reference. Yes, indeed it seems that mean-reversion works better nowadays, even with news!<br />ErnieErnie Chanhttps://www.blogger.com/profile/02747099358519893177noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-26496777963326012322010-03-19T18:00:32.240-04:002010-03-19T18:00:32.240-04:00this is similar to "The High Volume Return Pr...this is similar to "The High Volume Return Premium", Gervais: <br />http://ideas.repec.org/a/bla/jfinan/v56y2001i3p877-919.html<br /><br />It doesn't replicate out-of-sample any longer, but it's clear that it worked once upon a time.<br /><br />What does work now is mean reversion based on news. You don't have to analyze the content of the news, just take the frequency of a firm being mentioned and the stock movement that accompanies it, and you are good to go.Glyphardhttps://www.blogger.com/profile/09728338702383168689noreply@blogger.comtag:blogger.com,1999:blog-35364652.post-79293427323194485582007-06-28T19:17:00.000-04:002007-06-28T19:17:00.000-04:00Hum,I'd go with Ernie's way if any since many time...Hum,<BR/><BR/>I'd go with Ernie's way if any since many times, within a short time of a company announcing great news, there is a selloff. This has happened many times in recent weeks: a mining company would up resources and people would sell!<BR/><BR/>QuantonymousAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-83748287294686679782007-06-28T19:16:00.000-04:002007-06-28T19:16:00.000-04:00Hum,I'd go with Ernie's way if any since many time...Hum,<BR/><BR/>I'd go with Ernie's way if any since many times, within a short time of a company announcing great news, there is a selloff. This has happened many times in recent weeks: a mining company would up resources and people would sell!<BR/><BR/>QuantonymousAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-11346350341479831232007-06-28T02:34:00.000-04:002007-06-28T02:34:00.000-04:00At the end of the day, it is a human business. Gre...At the end of the day, it is a human business. Greed and Fear will always create short / long term price dislocations and thus opportunities. Algos are just another tool of the trade (although an important one).<BR/>Alex Spiroglou<BR/>www.CAStrategy.comAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-78195974220524988172007-06-27T17:02:00.000-04:002007-06-27T17:02:00.000-04:00What's wrong with doing it your way Ernie is that ...What's wrong with doing it your way Ernie is that it would likely produce smaller commissions for brokers, which would counteract the real "use" of this high-tech firepower.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-35364652.post-49504018788919373512007-06-27T13:51:00.000-04:002007-06-27T13:51:00.000-04:00Right conclusion, wrong analogy. Comparing a corp...Right conclusion, wrong analogy. Comparing a corporate release vs economic data is wide of the mark. When you look at a hard number release, earning, sales, inventory, this might hold up. However, when you read the wires, look at hirings and firings, contract news(expected?), FDA letters, political pronouncements (Barney Frank on online gambling etc) you see the differences. Bottom line, smartest will find a way to exploit the source and the dumbest trying to do the same. For most, a waste of time.Anonymousnoreply@blogger.com