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Petter Kolm

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44
Date
2022/10/27
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4
Job
Courant Institute of Mathematical Sciences | Clinical Full Professor of Mathematics
Content
Tuesday, November 8, 5:30PM-6:45PM (Eastern Time): Join us for Dacheng Xiu's "Expected Returns and Foundation Models of Language" in NYU Courant's Mathematical Finance & Financial Data Science Seminar. This online event is open to the public, but requires registration.Registration & more details:https://lnkd.in/exbK2_esNote: Zoom links are sent out to registered participants a day before the seminar.Abstract:We extract contextualized representations of news text to predict returns using the state-of-the-art foundation models in natural language processing. The contextualized representation of news reflects its content more accurately than the bag-of-words representation prevalent in the literature. In particular, the latter approach is more prone to errors when negation words appear in news articles. Moreover, we provide polyglot evidence on news-induced return predictability in 16 international equity markets with news written in 13 different languages. Information in newswires is assimilated into prices with an inefficient delay that is broadly consistent with limits-to-arbitrage, yet can be exploited in a real-time trading strategy. Furthermore, a trading strategy that exploits fresh news in the form of news alerts leads to even higher Sharpe ratios.#nyucourant #nyu Courant Institute of Mathematical Sciences Courant Institute of Mathematical Sciences #representations #news #sentimentanalysis #equity #trading M.S. in Mathematics in Finance, NYU Courant
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Integromat
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https://www.linkedin.com/feed/update/urn:li:activity:6991020068562214912
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Profile
https://www.linkedin.com/in/petterkolm/
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