Abstract
AbstractWe 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 5‐week holding period. We also found that trader overreaction to these events led AZFinText to capitalize on these short‐term surges in price.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have