Paper Info
Title
Evaluating a news-aware quantitative trader: The effect of momentum and contrarian stock selection strategies
Abstract
We study the coupling of basic quantitative portfolio selectionstrategies with a financial news article prediction system,AZFinText. By varying the degrees of portfolio formation time, wefound that a hybrid system using both quantitative strategy and afull set of financial news articles performed the best. With a1-week portfolio formation period, we achieved a 20.79% tradingreturn using a Momentum strategy and a 4.54% return using aContrarian strategy over a 5-week holding period. We also foundthat trader overreaction to these events led AZFinText tocapitalize on these short-term surges in price. © 2008 WileyPeriodicals, Inc.
Year
DOI
Venue
2008
10.1002/asi.v59:2
JASIST
Keywords
Field
DocType
forecasting,econometrics,hybrid system,knowledge management,text mining
Information system,Econometrics,Data mining,Contrarian,Financial news,Computer science,Informetrics,Portfolio,Portfolio optimization,Hybrid system,Prediction system
Journal
Volume
Issue
ISSN
59
2
1532-2882
Citations 
PageRank 
References 
15
0.88
15
Authors
2
Name
Order
Citations
PageRank
Robert P. Schumaker141921.71
Hsinchun Chen29569813.33