Sentiment
Analyzing market sentiment based on the option-implied distribution of stock returns
The authors propose a means to assess market sentiment using the option-implied distribution of stock returns generated from option data, allowing for efficient optimization of complex portfolios.
Natural language processing-based detection of systematic anomalies among the narratives of consumer complaints
Does investors’ sentiment influence stock market volatility? Evidence from India during pre- and post-Covid-19 periods
The impact of economic sentiment on financial portfolios during the recent turmoil
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
Research on the premium for the joint lower-tail risk of liquidity and investor sentiment
The authors put forward the concept of the joint lower-tail risk of liquidity and investor sentiment and investigate the issue of lower-tail risk premiums in the Chinese stock market.
The tweet and the trust collapse: how banks can fall on a dime
In March’s market contagion, experts see lessons in the rapid erosion of confidence
Earnings call analysis 2.0 goes beyond good and bad words
Quants develop new ways to extract signals from media-savvy chief executives and their financial statements
Analysts reveal more than company execs on earnings calls – AB
Sentiment signals derived from what analysts say beat those based on bosses’ responses, say quants
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
Moonshots shelved: banks spend on home-working tech
Dealers made success of remote working switch – now they’re investing in its future, and pausing grander ambitions
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
BlackRock, State Street, AB are making AI work in risk
Risk USA: Fund managers are using new technology to measure liquidity risk and spot their own errors
What gold's rise means for rates, equities
It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…
Deploying agile analytics in the fight against fraud
Financial firms are under pressure to tackle the widespread problem of financial fraud. As the speed, scale and sophistication of fraudulent activity grows, a panel of financial crime experts reveal how firms can develop an agile analytics capability to…
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
From memos to texts, algos fish for signals in-house
Hedge funds turn to natural language tools to pry more value out of their analysts’ internal writings
The advance of analytics
Machine learning is coming to analytics but there are hurdles to overcome first, says Aiman El‑Ramly, chief operations officer at ZE PowerGroup
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
All the news that’s fit to print
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
News-sentiment networks as a company risk indicator
This paper defines an algorithm for measuring sentiment-based network risk, to understand the relationship between news sentiment and company stock price movements, and to better understand connectivity among companies.