Equities
RavenPack | May 15, 2018
In this paper, we introduce alternative ways to aggregate daily news sentiment and to incorporate event volume into a trading strategy.
Executive Summary:
In particular, we investigate how subtle differences in the way we use the same news information, such as different averaging, can lead to important differences in the characteristics of our portfolio. We recommend analyzing the Sum Excess Sentiment Indicator , SESI, which can be interpreted as a simple way to take into consideration event sentiment and event volume, simultaneously.
We find that:
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