Replicating Research and Implementing Backtest Utilizing the News Sentiment Data [APAC]
- Replicate whitepapers and backtest this strategy using BQFactor and leveraging new sentiment data
- We will use two company-specific news-related data items in our studies: “Daily News Publication Heat,” which is a score measuring the volume of news flow and “Daily News Sentiment Score,” which is a measure of the average sentiment of news flow about the company
- The focus will be on returns over medium-term horizons of several months and on a broad universe of U.S. stocks of all sizes
- We will check the hypothesis that periods of increasing relative news flow should be associated with periods of relatively higher stock returns
Speakers
Vadim Nagaev
BQuant Product Specialist
Bloomberg L.P.
Vadim Nagaev has been a BQuant Product Specialist at Bloomberg for the last two years. He has nine years experience as a Quant Researcher and Quant Developer at two hedge funds, and three years at Goldman Sachs in Risk Management Quant. Vadim holds a MS and BS in Applied Math and Computer Science, and a MS in Financial Engineering. He has also received CFA and FRM designations.