News Sentiment Trading by Dr. Ernest Chan

Does news sentiment still generate alpha? How does one merge such data with price data? How does one deal with categorical news sentiment features? How does one detect errors in news sentiment data? Dr. Chan discusses his experience with a Thomson-Reuters news sentiment data set.

Dr. Ernest P. Chan is the Managing Member of QTS Capital Management, LLC. His career since 1994 has been focusing on the development of statistical models and advanced computer algorithms to find patterns and trends in large quantities of data. He has applied his expertise in statistical pattern recognition to projects ranging from textual retrieval at IBM Research, mining customer relationship data at Morgan Stanley, and statistical arbitrage trading strategy research at Credit Suisse, Mapleridge Capital Management, and other hedge funds.