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Article

Event-Driven Trading and the “New News”

David Leinweber and Jacob Sisk
The Journal of Portfolio Management Fall 2011, 38 (1) 110-124; DOI: https://doi.org/10.3905/jpm.2011.38.1.110
David Leinweber
is the president of Leinweber & Co. and co-founder of the Lawrence Berkeley National Laboratory Computational Research Division’s Center for Innovative Financial Technology in Berkeley, CA.
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  • For correspondence: dleinweber@post.harvard.edu
Jacob Sisk
is a senior research scientist at Thomson Reuters in New York, NY.
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  • For correspondence: jacob.sisk@thomsonreuters.com
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Abstract

Two information revolutions are underway in trading and investing. Most headlines focus on structured quantitative market information at ever higher frequencies, but the other technology revolution in trading and investing is driven by qualitative, textual, and relationship information. The IBM computer Watson’s overwhelming Jeopardy victory demonstrated how good machines can get at this. News analysis is a focus of language technology in finance. In this article, Leinweber and Sisk include event studies and show U.S. portfolio simulation results for “pure news” signals applied over the period 2006–2009 as well as a true out-of-sample period in 2010, which indicates alpha in excess of 10% a year. The authors also describe other applications of automated qualitative analysis for information-driven social media client relations.

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The Journal of Portfolio Management: 38 (1)
The Journal of Portfolio Management
Vol. 38, Issue 1
Fall 2011
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Event-Driven Trading and the “New News”
David Leinweber, Jacob Sisk
The Journal of Portfolio Management Oct 2011, 38 (1) 110-124; DOI: 10.3905/jpm.2011.38.1.110

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Event-Driven Trading and the “New News”
David Leinweber, Jacob Sisk
The Journal of Portfolio Management Oct 2011, 38 (1) 110-124; DOI: 10.3905/jpm.2011.38.1.110
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  • Article
    • Abstract
    • NEWS TRADING
    • PREVIOUS WORK ON NEWS AND PRICES
    • EVENT STUDY RESULTS
    • INFORMATION EFFICIENCY AND MARKET CAPITALIZATION
    • PURE NEWS-DRIVEN PORTFOLIO SIMULATION
    • BACK TO WATSON AND LANGUAGE IN FINANCE
    • ENDNOTE
    • REFERENCES
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