Research Project

Statistical Arbitrage via News Sentiment Data Analysis

Jim Liew, Assistant Professor with the Johns Hopkins’ Carey Business School and Dan Naiman, Professor from Applied Mathematics and Statistics in the Whiting School of Engineering have assembled a team of graduate students from both schools who are trying to find patterns relating news sentiment to minute by minute market prices for various assets. This research involves […]

Jim Liew, Assistant Professor with the Johns Hopkins’ Carey Business School and Dan Naiman, Professor from Applied Mathematics and Statistics in the Whiting School of Engineering have assembled a team of graduate students from both schools who are trying to find patterns relating news sentiment to minute by minute market prices for various assets.

This research involves mining 10 years of historical Thomson Reuters News Analytics data, in which news articles are analyzed and scored in real time for their relevance to a host of equities, commodities, and currencies, and minute by minute prices from various exchanges. A key research question under investigation is whether statistical arbitrage opportunities can be uncovered as a result of such analysis.

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