It is widely recognised news plays a key role in financial markets. Traders and other market participants digest news rapidly and update their asset positions accordingly. The sources and volumes of news continue to grow and there is alpha generating potential in those technologies that aid intelligent and efficient processing of news. New technologies that allow traders and investment managers to automate or semi-automate news collection, extraction, aggregation and categorisation are emerging. Further a few niche analytics compa-nies (RavenPack, AlphaSimplex) in partnership with established newswire providers (Thomson Reuters, Dow Jones) have developed commercial applications which process the textual input of news stories to determine quantitative sentiment scores. These can then form inputs to enhance financial models for trading, fund management and risk control. Financial news can be split into regular synchronous announcements, that is, expected news as well as event driven asynchronous announcements, that is, unexpected news. Experts in this domain have found and continue to develop approaches to incorporate this information. With the emergence of new technologies this is a particularly hot topic. As markets react rapidly to news, effective models which account for news are highly sought after: for trading, fund management and risk management.

Research Contributors

• David Leinweber Fellow in Finance, Haas School of Business, UC Berkeley
• Jacob Sisk Research Scientist, Yahoo
• Professor Sanjiv Das Leavey School of Business, Santa Clara University
• Professor Terrance Odean Haas School of Business, University of California
• Dan diBartolomeo, CFA CEO Northfield Information Services Inc.
• Professor Feng Li Stephen M. Ross School of Business, University of Michigan
• Professor Werner Antweiler Sauder School of Business, University of British Columbia
• Professor Murray Frank Carlson School of Management, University of Minnesota
• Andy Moniz, CFA MacQuarie Research Equities (USA)
• Gurvinder Brar MacQuarie Research Equities (USA)
• Marc Oliver Rieger Swiss Banking Institute, University of Zurich
• Petko Kalev Monash University

The Handbook will be of interest to key decision makers in the Banking, Finance and Insurances Services industry. In particular,

• Asset managers,
• algorithmic traders ,
• brokerage houses,
• quantitative fund managers,
• proprietary (program) trading desks,
• risk managers
• hedge fund managers,
• sell side firms,
• research departments

These players need to continually innovate to stay competitive in an increasingly sophisticated and aggressive market place. They need to provide a differentiated service and produce excess returns.