Insights into Market Sentiments and Trading Strategies

A session at Sentiment Analysis in Finance Conference, Singapore, 10 – 11 March, 2016

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.

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Date Thu 10th March 2016

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