hedge funds webcast series - thomson...

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