Title: Evaluating a news‐aware quantitative trader: The effect of momentum and contrarian stock selection strategies
Abstract: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 f...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.Read More
Publication Year: 2007
Publication Date: 2007-11-06
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 19
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