Schumaker, R.P.; Chen, H.: Evaluating a news-aware quantitative trader : the effect of momentum and contrarian stock selection strategies (2008)
0.01
0.005135947 = product of:
0.015407841 = sum of:
0.015407841 = weight(_text_:a in 1352) [ClassicSimilarity], result of:
0.015407841 = score(doc=1352,freq=22.0), product of:
0.05209492 = queryWeight, product of:
1.153047 = idf(docFreq=37942, maxDocs=44218)
0.045180224 = queryNorm
0.29576474 = fieldWeight in 1352, product of:
4.690416 = tf(freq=22.0), with freq of:
22.0 = termFreq=22.0
1.153047 = idf(docFreq=37942, maxDocs=44218)
0.0546875 = fieldNorm(doc=1352)
0.33333334 = coord(1/3)
- Abstract
- We study the coupling of basic quantitative portfolio selection strategies with a financial news article prediction system, AZFinText. By varying the degrees of portfolio formation time, we found that a hybrid system using both quantitative strategy and a full set of financial news articles performed the best. With a 1-week portfolio formation period, we achieved a 20.79% trading return using a Momentum strategy and a 4.54% return using a Contrarian strategy over a 5-week holding period. We also found that trader overreaction to these events led AZFinText to capitalize on these short-term surges in price.
- Type
- a
