Document (#33353)

Author

Schumaker, R.P.
Chen, H.

Title

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

Source

Journal of the American Society for Information Science and Technology. 59(2008) no.2, S.247-255

Year

2008

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.

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