The website Registration page
has been redesigned and users can create
accounts based on their professional
background. We have also provided an account
type for individual users who are not
affiliated with any organisation. Registered
users can download various software for trial
and will get personal assistance on the
software, if required.
We have also set up a forum on
Google Groups for AMPLDev users to post
questions and discuss topics relevant to the
software suite. We will be adding tutorials and
FAQs soon so keep a look out. www.optirisk-systems.com/forum.asp
"
Whitepaper
Updates
Title:
"Impact of News on Asset Behaviour: Return,
Volatility and Liquidity in an Intra-day
setting"
Authors:
Gautam Mitra, Keming Yu, Xiang Yu
A
novel study on the impact of news sentiment on
asset behaviour has been carried out by our
sponsored student Miss Xiang Yu under Prof.
Mitra’s supervision. This paper explores the
predictive power of news sentiment on stock
return, volatility and liquidity in 1 minute
intervals. To better reflect the reaction of
stock prices to news, an innovative measure,
impact score is formed. Empirical results show
that volatility and liquidity predictions are
improved with the addition of news sentiment,
but little effect occurs on the prediction of
return. In fact, out-of-sample fitting for
volatility gave forecasts that were improved by
almost tenfold. This paper is available to
download at: http://ssrn.com/abstract=2296855
(Click
here)
Title:
"Automated Analysis of News to Compute Market
Sentiment: Its Impact on Liquidity and
Trading"
Authors:
Gautam Mitra, Dan diBartolomeo, Ashok Banerjee,
Xiang Yu
Computer trading in financial markets is a
rapidly developing field with a growing number
of applications. Automated analysis of news and
computation of market sentiment is a related
applied research topic which impinges on the
methods and models deployed in the former. In
this review we have first explored the asset
classes which are best suited for computer
trading. We present in a summary form the
essential aspects of market microstructure and
the process of price formation as this takes
place in trading. We critically analyse the
role of different classes of traders and
categorise alternative types of automated
trading. We introduce alternative measures of
liquidity which have been developed in the
context of bid-ask of price quotation and
explore its connection to market microstructure
and trading. We review the technology and the
prevalent methods for news sentiment analysis
whereby qualitative textual news data is turned
into market sentiment. The impact of news on
liquidity and automated trading is critically
examined. Finally we explore the interaction
between manual and automated trading. (Click
here)
Partnerships
During this quarter OptiRisk
Systems has entered into a partnership with
FSWire; we are extracting our News Analytics
toolkit with Twitter feed.
