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Hedge Funds Webcast SeriesWebcast 1: Systematic News Trading: incorporate news & textual analysis into your automated trading processes
3rd February, 2015
Thomson Reuters
Thomson Reuters Machine Readable News
James CantarellaGlobal Business ManagerMachine Readable News
February 2015
What is “News”?
Unscheduled Events
Structured Data
Credit ratings
Broker research, company ratings
Unstructured Data
Social media, blog, forum posts
Alerts, articles from newswires, internet
What is “News”?
Scheduled Events
Structured Data
Econ announcements from gov’t lock-ups
Embargoed data
Unstructured Data
Political speeches
Fed meeting minutes
Company earnings announcements
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Exploiting News Content – Research
Well-established research on the value of news to predict market reactions has centered on the impact of news flow
1. News flow can be a good indicator to predict trading volume and price volatility.
2. Pricing movements accompanied by news tend to be momentum in nature; movements with a lack of news tend to reverse to average trends.
3. The market tends to overreact when there is a lot of news on something and under-react when there is a small quantity of news.
Thomson Reuters Machine Readable NewsBroadest Offering of MRN Products Anywhere
• World class news agency
• Streaming textual news feeds
• Deep historical archive of all MRN content
• Ultra-low latency economic indicators
• Internet news & social media solutions
• Best-in-class analytics to extract valuable information
MRN Turns Qualitative Information Into Actionable Data• Highly structured economic & textual data for easy application consumption
• Sophisticated relevance, novelty, topic and sentiment metadata for filtering
• Regularly adding new sources & content with the same identifiers and metadata
Ever-Expanding Use-Cases• Previously only used in black-box trading & quant equity strategies
• Increasing usage in the market surveillance space
• Growing demand for news and analytics for desktop & online usage
Machine Readable News ContentNews• Reuters News on companies, currencies, economics, politics, etc…
• Third party Corporate and Regulatory News feeds
• News Archive with millisecond timestamps back to 1996
Events• Company Events with earnings numbers scraped from regulatory feeds
• Economic Indicators from government & private agencies, over 1,500
Analytics• News Analytics automated news analysis solution for equities and C&E
• MarketPsych Indices cross-asset macro sentiment using social media
• News Sentiment Indices for visualizing news sentiment on screens
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Machine Readable News Use CasesMarket making – widen spreads around unscheduled news
Circuit breaker/halt trading alert – automated execution algos
Execution algorithms – more/less participatory algos
Alpha generating signal – offensive & loss avoidance
Risk management – quantify event risk and manage portfolio volatility
Trader support – confirming/contrarian trading signals, volatility signals
Back-testing trading models – checking performance vs. news timing
IntroductionATRAP
Thomson Reuters webcast
Markus Schicho(CEO econob)February 2015
www.econob.com | www.atrap.biz
Agenda
• Who we are• ATRAP Introduction• ATRAP Architecture• ATRAP Demonstration
www.econob.com | www.atrap.biz
<
Innovative IT Company
Leader in computerized reading and analyzing of textual information
Strong international partnerships
10+ employees
Strong Management and Advisory Board
Award winning softwaresolution in the financialmarket
Based in Klagenfurt, Austria
www.econob.com | www.atrap.biz
Introduction - Problem
• News/Events influence prices
• Thousands of incoming pieces of news
• Not possible to read and react in time
www.econob.com | www.atrap.biz
Introduction - Solution
• Solution: ATRAP• Executes trades based on news• Time of incoming news to trade execut 120 ms• Customized trading conditions & actions
• Extension of the trader‘s arm• Eliminates misinterpretation and increases speed
www.econob.com | www.atrap.biz
Architecture of ATRAP
www.econob.com | www.atrap.biz
ATRAP Trigger
www.econob.com | www.atrap.biz
Items
Indicators Wordings
Demonstration
• KONE• Finnish company producing elevators• „Operating Profit“ figure as trigger – Indicator
• QSC• German IT company• „Cuts – Misses Guidance“ – Wording
• ECB• European Central Bank• „buy corporate bonds“ - Wording
www.econob.com | www.atrap.biz
Thank You!
cell: +43(0)650 4255624
mail: markus.schicho@econob.com
web: www.atrap.biz
Econob GmbH
Lakeside B01a
9020 Klagenfurt am Wörthersee
Carinthia, Austria
•Questions?
Thank you
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Custom Indicators / Wordings QA
1. Customer contacts econob2. Customer describes wording/indicator with example news3. econob generates wording/indicator
- evaluation on historic news4. econob and customer empirical evaluation (e.g. generated test loop)
www.econob.com | www.atrap.biz
Custom Indicators / Wordings generation
• Indicator / Wording configuration done by NLP experts in cooperationwith domain experts ( traders)
• morphological variations• raise -> raising; raises; raised; reraise; will rise
• Financial synonym expansion (semantic analysis)• raise -> upgrade; lift; add to buy list
• syntactic analysis (complex patterns)• buy (sell) raise from sell to buy; raise to buy from sell
www.econob.com | www.atrap.biz
Application scenarios
• Standalone• Trade shares, commodities, futures
• Integrated• Input for an automatic trading systems
www.econob.com | www.atrap.biz
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