Evaluating a news-aware quantitative trader: The effect of momentum and contrarian stock selection strategies

Robert P. Schumaker, Hsinchun Chen

Research output: Contribution to journalArticle

14 Scopus citations

Abstract

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 5-week holding period. We also found that trader overreaction to these events led AZFinText to capitalize on these short-term surges in price.

Original languageEnglish (US)
Pages (from-to)247-255
Number of pages9
JournalJournal of the American Society for Information Science and Technology
Volume59
Issue number2
DOIs
StatePublished - Jan 15 2008

ASJC Scopus subject areas

  • Software
  • Information Systems
  • Human-Computer Interaction
  • Computer Networks and Communications
  • Artificial Intelligence

Fingerprint Dive into the research topics of 'Evaluating a news-aware quantitative trader: The effect of momentum and contrarian stock selection strategies'. Together they form a unique fingerprint.

  • Cite this