a QWAFAFEW discussion led by Dan diBartolomeo, Northfield Information Services, Inc.
Title: Incorporating New and Investor Sentiment into Portfolio Risk Estimation
Traditional models of security and market risk respond relatively slowly to dramatic changes in conditions, because it is necessary to obtain a statistically sufficient sample of observations of returns and related security characteristics under the new regime. This paper, diBartolomeo, Mitra and Mitra (2009), provides a method to adjust financial risk estimates nearly instantaneously based on algorithmic analysis of the number and content of news articles pertaining to the securities under study. Empirical tests of both European and US stocks suggest that the information derived from news analysis is a significant contributor to risk estimation, above and beyond other "near contemporaneous" sources of information such as option-implied volatility.
Guest fee for attendance is $30. Members attend at no charge. If you are not yet a member or have not paid your dues lately, you may pay your annual dues of $150 (your membership year starts on the day you pay). You may bring cash or a check for either amount ($150 or $30) made out to "QWAFAFEW" and give it to our Treasurer, Hugh Crowther
Please let us know if you intend to come to the meeting. Walk-ins are always welcome; still, we greatly appreciate all RSVPs so that we can have adequate food and drink on hand.
Help needed. We are always in need of people to arrive early for the meetings to help set up the seating and refreshments. If you are willing to help out please contact Hugh Crowther.
Comments