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 language | English (US) |
|---|---|
| Pages (from-to) | 247-255 |
| Number of pages | 9 |
| Journal | Journal of the American Society for Information Science and Technology |
| Volume | 59 |
| Issue number | 2 |
| DOIs | |
| State | Published - Jan 15 2008 |
ASJC Scopus subject areas
- Software
- Information Systems
- Human-Computer Interaction
- Computer Networks and Communications
- Artificial Intelligence