Tuesday, August 16, 2016
Here at RavenPack, we are currently developing our next-generation news analytics platform which includes many exciting new features and enhancements. To showcase the power of our new platform, we wanted to look at a current high profile economic and political event, and what better case than the US Presidential Elections taking place on November 8th?
To test the methodology of our planned blog series, we felt that the recent Brexit referendum provided the perfect context for a test of the type of analysis we’ll be performing in the run up to the US Presidential Elections. In this post, we are going to walk through our methodology and analysis of key entities and media sentiment throughout the Brexit campaign in an effort to understand how good our next-gen news analytics platform is at predicting the outcome of political events.
Friday, July 22, 2016
Recently, RavenPack hosted its 4th Annual Research Symposium in New York titled “Reshaping Finance with Alternative Data”. The feedback on the street is that it is a must attend event for quantitative investors and financial professionals that are serious about Big Data. Over 200 guests attended the event.
I wouldn’t want anyone to miss out, so take a look at the video recordings and access PDF slides of each session. Watch the event highlights below.
Tuesday, April 12, 2016
A study by Deutsche Bank
The principle of pairs trading is remarkably simple. An investor finds assets whose prices moved together historically, open a trade by shorting the winner and buying the loser when the spread between them widens. The trade is closed when the spread converges. Although, it may sound simple…the Devil is in the detail!
Over the years, pairs trading has become one of the most popular statistical arbitrage strategies. The strategy exploits temporary anomalies between prices of assets that have some equilibrium relationship. While methods may differ in sophistication, all implementations rely on the use of statistical analysis of historical prices to identify pair candidates with stable inter-relationships.
The main challenge in building such strategies is that, often, cointegration between two assets breaks down out-of-sample – making the trade a losing proposition.
Tuesday, April 5, 2016
Tuesday, September 29, 2015
The concept of alpha streams is very well known in the investment community, and there has been a fair bit of research into combining alpha streams, but little research exists on the actual alpha creation. Such know-how is usually kept secret by portfolio managers to maintain their edge.
Tuesday, July 7, 2015
You can request the full paper from our website.
The highlights of our findings included: