Yin Luo - Managing Director, Global Head of Quantitative Strategy - Deutsche Bank
| June 16, 2016
In this presentation, Yin Luo (Deutsche Bank) finds news sentiment data adds significant incremental predictive power to his machine learning based global stock selection models.
Big data and machine learning have generated tremendous interest in empirical finance research.
In this presentation, Yin Luo, Global Head of Quantitative Strategy at Deutsche Bank, examines a unique news analytics database provided by Ravenpack. He applies a suite of innovative machine learning algorithms, including adaBoost, spline regression, and other boosting/bagging techniques on both traditional and unstructured news data in predicting stock returns.
He finds news sentiment data adds significant incremental predictive power to his machine learning based global stock selection models.
Presentation held at the RavenPack 4th Annual Research Symposium, New York, June 16th 2016.
Please use your business email. If you don't have one, please email us at email@example.com.
We will process your personal data with the purpose of managing your personal account on
RavenPack and offering our services. You can exercise your rights of access, rectification,
erasure, restriction of processing, data portability and objection by emailing us at firstname.lastname@example.org. For more information, you can
Your request has been recorded and a team member will be in touch soon.
High inflation has returned in developed markets after decades of lying low. In our latest paper, we show how to build an inflation-based asset allocation strategy using sentiment data and we illustrate that sentiment-based strategies outperform models that depend merely on past observed inflation values.
This year's RavenPack Research Symposium brought two intense days of knowledge sharing in London and New York, from 25 top experts in natural language processing, quantitative investing and machine learning. Together, we explored how firms can leverage new language models to generate alpha, better manage risk and respond to calls for more sustainable investment practices.
Human capital is at the heart of value creation. Our latest research demonstrates how unprecedented workforce insights, sourced from over 200 million job postings, can generate more alpha.