Sentiment Analysis in Finance

sentiment_white The participants in financial markets, namely, dealer/brokers, market makers, prop trading desks of investment banks, analysts in hedge funds and investment funds as well as retail traders, all enter the market to exploit it from different perspectives. For the traders and fund managers the challenge is to transform [market] information into an increase in the value of their asset holdings, that is, capture the ever-elusive alpha. Where and how can the firms innovate to obtain such alpha? Sentiment analysis is an emerging area where structured and unstructured data is analysed to generate useful insights leading to improved performance. Through text mining of news, microblogs, and online search results (Google, Wikipedia), massive amounts of data are distilled into information. This information is then used to construct actionable strategies for (i) trading, (ii) fund management and (iii) risk control. In this conference, thought leaders and subject matter experts from Europe, UK, USA and AsiaPac region (including India and China) present their findings, their knowledge and the current state of the art in this fast-emerging field of Sentiment Analysis Applied to Finance.

The programme focuses on the application of Sentiment Analysis to the respective models of trading, fund management and risk control. Market leaders and vendors of event driven contents and analytics, namely Thomson Reuters and Bloomberg, and their senior domain experts, present and explain their products and services in this area of sentiment analysis applied to finance.

Topic areas covered:

  • Foundations & Technologies of Sentiment Analysis for Finance
  • Multi-Dimensional Sentiment Analysis
  • News Sentiment and Stock Market Reactions
  • Exploiting Sentiment Analysis in Financial Markets

Who should attend?

The conference is aimed at the following groups:

  • Professionals in the FinTech sector
  • Quant teams from investment and hedge funds
  • High frequency traders
  • Prop trading desks of investment banks
  • Consumer/marketing analytics firms

Programme

  • 09:30 - 09:45
    Gautam-Mitra

    Introduction and Welcome by Professor Gautam Mitra, Optirisk & UCL

    Prof. Gautam Mitra

    Speaker(s):
    Gautam-Mitra

    Gautam Mitra

  • 09:45 - 10:30
    Tobias-Preis

    Measuring and Predicting Human Behaviour Using Online Data

    Tobias Preis, Warwick Business School

    In this talk, I will outline some recent highlights of our research, addressing two questions. Firstly, can big data resources provide insights into crises in financial markets? By analysing Google query volumes for search terms related to finance and views of Wikipedia articles, we find patterns which may be interpreted as early warning signs of stock market moves. Secondly, can we provide insight into international differences in economic wellbeing by comparing patterns of interaction with the Internet? To answer this question, we introduce a futureorientation index to quantify the degree to which Internet users seek more information about years in the future than years in the past. We analyse Google logs and find a striking correlation between the country's GDP and the predisposition of its inhabitants to look forward. Our results illustrate the potential that combining extensive behavioural data sets offers for a better understanding of large scale human economic behaviour.

    Speaker(s):
    Tobias-Preis

    Tobias Preis

  • 10:30 - 11:00

    TEA /COFFEE BREAK

  • 11:00 - 11:45
    Elijah-DePalma

    The One Thing Every Quant Needs to Know about Asian Languages

    Elijah DePalma, Thomson Reuters

    Opportunity abounds in Asian markets- from retail to global banking. Accessing the right tools to analyze sentiments and trends are especially valuable as we continue to see shifts, fragmentation and changes in the landscape. From Australia, to ASEAN to Japan, Thomson Reuters can help you get the advantage, as we’re one of the first to provide a breadth of Asian language analytics that the marketplace demands.

    To help you navigate challenges and opportunities with the right data analytics tools this Webinar will discuss:

    • New Asia Region Analytics: Intelligence around intraday market reactions and broad market sentiment data
    • Breadth of Thomson Reuters Data: Unique content sets, sentiment indices and security coverage across a variety of regional companies, including firms in Japan, Australia and New Zealand
    • Investment Style Use Cases: Robust content provides access and intelligence you need for even the most complex investment styles and types.

    Speaker(s):
    Elijah-DePalma

    Elijah DePalma

  • 11:45 - 12:30
    Gautam-Mitra

    Insights into Market Sentiments and Trading Strategies

    Gautam Mitra, OptiRisk Systems

    Sentiment Analysis is emerging as an important soft technology tool that is influencing Business Intelligence and Performance Evaluation as these are practised in industry and commerce today. In this talk we first introduce the multiple sources of information, namely, News Wires, Macro-economic Announcements, Social Media, Microblogs/Twitter, Online (search) Information such as Google Trends and Wiki. We then describe a model by which we measure the impact of these and finally how this impact measure is used to improve the predictive models of asset behaviour.As our aim is to improve the ‘ALPHA’ of our trade portfolios we describe strategies by which we make choices for asset allocation. In particular we describe how to apply Second Order Stochastic Dominance for asset allocation and combine this with Kelly’s strategy for money management.

    Speaker(s):
    Gautam-Mitra

    Gautam Mitra

  • 12:30 - 13:30

    LUNCH BREAK

  • 13:30 - 14:00

    Round Table Session

    1. Application of Sentiment Analysis to Equities { Facilitator Ashok Banerjee }

    2. Application of Sentiment Analysis to Fixed Income and Commodities {Facilitator: Svetlana Borovkova}

  • 14:00 - 14:45
    Ashok-Banerjee

    Attention and Sentiment

    Ashok Banerjee,IIM Calcutta

    Research at Finance Lab of IIM Calcutta, shows that the effect of any news on the market depends on the attention of investors. If the attention of investors were somewhere else, even news carrying strong positive/negative sentiment would go unnoticed or would be penalized. This is particularly true in the case of major non-market attention grabbing events. In other words, attention overwhelms the effect of sentiment. Processing any attention-grabbing event requires effort. If that effort is directed towards particular information, people are reluctant to make the extra effort to process any other information at the same time, no matter how much sentiment that information might carry.

    Speaker(s):
    Ashok-Banerjee

    Ashok Banerjee

  • 14:45 - 15:30
    Eric_2

    Unbearable Lightness of Expectations of the Chinese Investor

    Eric Tham, iMaibo

    The Chinese equity market has seen an increase in the number of retail investors in recent years. In this talk, sentiment analysis of two sources of the domestic online media are considered - news and social blogs media. This is captured through a NLP of the Chinese language by carefully selecting financial idioms and supervised learning. Results show a statistically significant lead-lag relationship between the news media sentiment and the Shanghai Stock index (SSE) that is indicative of momentum strategies. The social media sentiment displays a strong contemporaneous relationship with SSE returns. This contemporaneous relation is modelled through a state space model reflecting the volatile sensitivity of the market returns to social media sentiment.

    Speaker(s):
    Eric_2

    Eric Tham

  • 15:30 - 16:00

    TEA / COFFEE BREAK

  • 16:00 - 16:45
    Dan-diBartolomeo
    nickwade

    Risk Systems That Read

    Dan diBartolomeo and Nick Wade, Northfield Information Services

    What is missing from nearly all risk models today is recognition of how the present is different from the past, and therefore how the short-term future is also likely to be different from the past. By defining “news” explicitly as the information set that informs us of those differences, we can condition our estimates of the distribution of future outcomes more robustly. Building upon the methods in diBartolomeo, Mitra, and Mitra (2009), and Kyle, Obizhaeva, Sinha and Tuzun (2012), we introduce a new approach using quantified news flows and related sentiment scores to predict portfolio risk. This new process can operate in real time, and can address tens of thousands of global companies and financial institutions (for counterparty risk)

    Speaker(s):
    Dan-diBartolomeo

    Dan diBartolomeo

    nickwade

    Nick Wade

  • 16:45 - 17:30

    Panel Session 1- Demystifying Why and How Sentiment Analysis Works in Finance

    Moderator: James Cantarella, Thomson Reuters

  • 17:30 - 19:30

    Networking Drinks and Official Launch of "Handbook of Sentiment Analysis in Finance"

  • 09:00 - 09:05
    Gautam-Mitra

    Introduction and Welcome by Professor Gautam Mitra, Optirisk & UCL

    Prof. Gautam Mitra

    Speakers:
    Gautam-Mitra

    Gautam Mitra

  • 09:05 - 09:45
    Svetlana-Borovkova

    Sentiment-based Commodity Trading

    Svetlana Borovkova, Vrije Universiteit Amsterdam

    In this presentation, we address the issue of trading commodities on the basis of news sentiment. First, we outline the effects of news sentiment on the prices of different commodity futures. Profitable sentiment-based trading strategies are then constructed for individual commodities, with the eventual goal of building a profitable multi-commodity diversified trading strategy. The news sentiment is extracted from the Thomson Reuters News Analytics Engine (TRNAE) and the traded commodities are the constituents of the Dow Jones Commodity Index (DJCI). We show that profitable sentiment-based trading strategies can be constructed, which show consistent good performance for various commodities as well as for commodity portfolios. We analyse the strategies also in terms of risk profiles and show how the downside can be limited.

    Speakers:
    Svetlana-Borovkova

    Svetlana Borovkova

  • 09:45 - 10:30
    Enza-Messina

    Text and network analysis for sentiment mining

    Enza Messina, University of Milano-Bicocca

    In this talk we show how social relationships can be managed to improve user-level sentiment analysis of microblogs, overcoming the limitation of the state-of-the-art methods that generally consider posts as independent data. We show how combining post contents and network structure information may lead to significant improvements in the polarity classification of the sentiment both at post and at user level.

    Speakers:
    Enza-Messina

    Enza Messina

  • 10:30 - 11:00

    TEA /COFFEE BREAK

  • 11:00 - 11:45
    Changjie-Liu

    Sentiment in Currencies

    Changjie Liu, Analytics at MarketPsych

    Sentiment studies in the financial markets have typically focused on equities. Here we focus on currencies, by looking at their sentiment characteristics, examples of historical events, and test out the application of sentiment strategies to this asset class.

    Speakers:
    Changjie-Liu

    Changjie Liu

  • 11:45 - 12:30
    Huyen-Tran

    Social listening & financial crowd-intelligence

    Huyen Tran,Sentifi

    Nearly all online “news” sources, which are the traditional sources we know in the likes of Bloomberg and Reuters, are a fraction of the content that is available on the World Wide Web. The remaining content comes from new media sources including Twitter, YouTube, and Facebook generated by individuals who talk about events as they happen. These millions of voices, when structured, can generate insights which can help investors make investment decisions. This presentation will touch on how Sentifi structures and delivers these insights, providing an information advantage for media platforms globally.

    Speakers:
    Huyen-Tran

    Huyen Tran

  • 12:30 - 13:00

    Panel Session 2- New Paradigms for Sentiment Analysis Applied to Finance

    Moderator: Huyen Tran,Sentifi

  • 13:00 -

    End of Conference

Speakers

Ashok-Banerjee

Ashok Banerjee

IIM Calcutta

Rajib-Borah

Rajib Ranjan Borah

iRage Capital

Svetlana-Borovkova

Svetlana Borovkova

Vrije Universiteit Amsterdam

James-Cantarella

James Cantarella

Thomson Reuters

Elijah-DePalma

Elijah DePalma

Thomson Reuters

Dan-diBartolomeo

Dan diBartolomeo

Northfield

ChristianKonig

Christian König

Finanzpro Ltd

Changjie-Liu

Changjie Liu

Analytics at MarketPsych

Enza-Messina

Enza Messina

University Milano Bicocca

Gautam-Mitra

Gautam Mitra

OptiRisk; UCL

Tobias-Preis

Tobias Preis

Warwick Business School

icon_male_speaker

Rob Passarella

Bloomberg

Eric_2

Eric Tham

iMaibo

Huyen-Tran

Huyen Tran

Sentifi

nickwade

Nick Wade

Northfield

Sponsors

Professional Society Partners

prima
garp

Marketing Partners

quantilogo

Media Partners

automated
quirksmedia
mindcommerce
datafloq
bsnsssingapore
Fintechnews

Knowledge Partners

Optirisk_CMYKWhite-300x133

Education Partners

Organised By

Tickets

End Users Organisations

695 SGD
  • Super Early Bird Price - until 10 Jan 2016 SGD 480
  • Early Bird price - until 10 FEB 2016 SGD 590
  • Standard price - until 10 Mar 2016 SGD 695
  • Buy Ticket

Vendors and Consultants

1125 SGD
  • Super Early Bird Price - until 10 Jan 2016 SGD 695
  • Early Bird Price - until 10 FEB 2016 SGD 910
  • Standard Price - until 10 Mar 2016 SGD 1125
  • Buy Ticket

Event Venue

  • Raffles City Convention Centre, Singapore
  • Call our Marketing Partner QuantInsti +91 22 61691403
  • email us: info@unicom.co.uk