Evaluating a news-aware quantitative trader: The effect of momentum and contrarian stock selection strategies
نویسندگان
چکیده
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 five-week holding period. It was also found that trader overreaction to these events led AZFinText to capitalize on these short-term surges in price.
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ورودعنوان ژورنال:
- JASIST
دوره 59 شماره
صفحات -
تاریخ انتشار 2008