Analytics in Corporate Finance Mitra
The Handbook of News Analytics
\
in Finance
Edited by
Gautam Mitra and Leela Mitra
WILEY
A John Wiley and Sons, Ltd, Publication
Contents
Preface
xiii
Acknowledgements
xvii
About the editors
xix
About the contributors
xxi
Abbreviations and acronyms
xxv
1
Applications of news analytics in finance: A review
Leela Mitra and Gautam Mitra
1.1 Introduction
1.2 News data
'
1.2.1 Data sources
1.2.2 Pre-analysis'of news data
1.3 Turning qualitative text into quantified metrics and time-series
1.4 Models and applications
1.4.1 Information flow and computational architecture
1.4.2 Trading and fund management ,
1.4.3 Monitoring risk and risk control
1.4.4 Desirable industry applications
1.5 Summary and discussions
l.A Appendix: Structure and content of news data
l.A.l Details of Thomson Reuters News Analytics equity coverage and available data
l.A.2 Details of RavenPack News Analytics—Dow Jones Edition:
Equity coverage and available data
l.B References
1
1
4
4
6
10
17
17
18
22
23
24
25
25
30
36
Contents
PART I QUANTIFYING NEWS: ALTERNATIVE METRICS
41
2
43
News analytics: Framework, techniques, and metrics
Sanjiv R. Das
2.1 Prologue
2.2 Framework
2.3 Algorithms
2.3.1 Crawlers and scrapers
2.3.2 Text pre-processing
2.3.3 Bayes Classifier
2.3.4 Support vector machines
2.3.5 Word count classifiers
2.3.6 Vector distance classifier
2.3.7 Discriminant-based classifier
2.3.8 Adjective-adverb classifier
2.3.9 Scoring optimism and pessimism
2.3.10 Voting among classifiers
2.3.11 Ambiguity filters
2.3.12 Network analytics
2.3.13 Centrality
2.3.14 Communities .
2.4 Metric!3
2.4.1 Confusion matrix
2.4.2 Accuracy
2.4.3 False positives
2.4.4 Sentiment error
2.4.5 Disagreement
2.4.6 Correlations
2.4.7 Aggregation performance
2.4.8 Phase lag metrics
2.4.9 Economic significance
2.5 Discussion
2.6 References
Managing real-time risks and returns: The Thomson Reuters NewsScope
Event Indices
Alexander D. Healy and Andrew W. Lo
3.1 Introduction
,
3.2 Literature review
3.3
\
in Finance
Edited by
Gautam Mitra and Leela Mitra
WILEY
A John Wiley and Sons, Ltd, Publication
Contents
Preface
xiii
Acknowledgements
xvii
About the editors
xix
About the contributors
xxi
Abbreviations and acronyms
xxv
1
Applications of news analytics in finance: A review
Leela Mitra and Gautam Mitra
1.1 Introduction
1.2 News data
'
1.2.1 Data sources
1.2.2 Pre-analysis'of news data
1.3 Turning qualitative text into quantified metrics and time-series
1.4 Models and applications
1.4.1 Information flow and computational architecture
1.4.2 Trading and fund management ,
1.4.3 Monitoring risk and risk control
1.4.4 Desirable industry applications
1.5 Summary and discussions
l.A Appendix: Structure and content of news data
l.A.l Details of Thomson Reuters News Analytics equity coverage and available data
l.A.2 Details of RavenPack News Analytics—Dow Jones Edition:
Equity coverage and available data
l.B References
1
1
4
4
6
10
17
17
18
22
23
24
25
25
30
36
Contents
PART I QUANTIFYING NEWS: ALTERNATIVE METRICS
41
2
43
News analytics: Framework, techniques, and metrics
Sanjiv R. Das
2.1 Prologue
2.2 Framework
2.3 Algorithms
2.3.1 Crawlers and scrapers
2.3.2 Text pre-processing
2.3.3 Bayes Classifier
2.3.4 Support vector machines
2.3.5 Word count classifiers
2.3.6 Vector distance classifier
2.3.7 Discriminant-based classifier
2.3.8 Adjective-adverb classifier
2.3.9 Scoring optimism and pessimism
2.3.10 Voting among classifiers
2.3.11 Ambiguity filters
2.3.12 Network analytics
2.3.13 Centrality
2.3.14 Communities .
2.4 Metric!3
2.4.1 Confusion matrix
2.4.2 Accuracy
2.4.3 False positives
2.4.4 Sentiment error
2.4.5 Disagreement
2.4.6 Correlations
2.4.7 Aggregation performance
2.4.8 Phase lag metrics
2.4.9 Economic significance
2.5 Discussion
2.6 References
Managing real-time risks and returns: The Thomson Reuters NewsScope
Event Indices
Alexander D. Healy and Andrew W. Lo
3.1 Introduction
,
3.2 Literature review
3.3