In this final segment, Peter Hafez, Director of Quantitative Research for the data provider RavenPack, addresses the question of the potential diminishing utility of news-based indicators as more traders incorporate them in their trading arsenal.
In this final segment, Peter Hafez, Director of Quantitative Research for the data provider RavenPack, addresses the question of the potential diminishing utility of news-based indicators as more traders incorporate them in their trading arsenal.
In this segment, Peter Hafez describes particular details concerning empirical research studies that show how both stocks and currencies respond to news-based, sentiment indicators. Peter Hafez is Director of Quantitative Research for the data provider RavenPack. Jeffrey Mishlove, PhD, is…
In Part 2, Peter Hafez, Director of Quantitative Research for the data provider RavenPack, describes a new indicator he has developed and researched called “news beta.” This is a measurement of the degree to which a security responds to market…
In the video here, I interview Peter Hafez, Director of Quantitative Research for the data provider RavenPack. Hafez has published a number of empirical studies dealing with ways of measuring the impact of news stories on securities prices. He has…
The number of good news events reported in the business press is very similar to the number of bad news events. However, Green, Hand, and Penn (2012) – from Pennsylvania State University, the University of North Carolina, and Florida State University…
Groß-Klußmann and Hautsch (2011) confirmed the usefulness of the machine-indicated relevance of news items. Significant market responses to news were only observable for items which were identified as being relevant. Their results showed that the classification was crucial to filter out…
Prototype experiments for predicting market reaction to financial news. The research literature has described a number of prototypes for predicting market’s reaction to news. The first recorded approach was by the trader Victor Niederhoffer in the early 1970’s. Niederhoffer organized…
Periodicities of Earnings Announcements Earnings announcements have distinct characteristics. The following charts show that there are periodicities to news announcements, particularly earnings announcements: The day-of-week chart above, for example, shows that companies have a clear preference for making earning announcements…
Efficiency. It’s a simple word. In the world of modern finance, it means that stock market prices – rapidly and without prejudice – reflect what’s going on in the business world. This notion was settled upon because it was believed…
The opposite was true for low-volume stocks. When past week returns were negative, a drop in volume led to a continuation of negative returns. When the past week’s returns were positive, a drop in volume led to a reversal in…