Thanks to Curt Monash for calling attention to an article by Seth Grimes about a presentation that Richard Brown of Thomson Reuters made at Gartner’s Event Processing Summit.
Brown’s talk was about the Reuters NewsScope Sentiment Engine, which “processes a stream of Reuters English language news items, producing sentiment data for a list of customer determined target companies.” The list of collaborators is intruiging:
- Technology from Infonic to assess author sentiment.
- Stream processing from Streambase.
- Quantitative research from AlphaSimplex, a firm chaired and founded by Andrew W. Lo, director of MIT’s Laboratory for Financial Engineering.
- And of course Reuters’ own Calais Web service.
I have no idea how valuabe the results are, but I intrigued at the ambition of putting all of these pieces together to support financial-market trading, Given the rocky history of quantitative trading, I’m curious to hear about their results.
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3 responses so far ↓
1 Seth Grimes // Sep 19, 2008 at 10:26 pm
Hello Daniel. there’s one other piece: ClearForest technology, installed client side (as opposed to server-side as part of NewScope) to provide information-extraction capabilities.
As for the results, these are described in the Reuters white paper I mentioned, which you can obtain from Richard W. Brown of Thomson Reuters. I’m reluctant to post his e-mail address, but it combines his and his company’s full names. If you can’t figure it out, let me know and I’ll provide it. Reuters and AlphaSimplex applied difference-of-means testing and got statistically significant t-test scores to establish an effect of news-sentiment-scoring. This is my recollection from Tuesday’s presentation and a very quick scan through the paper, which I haven’t had a chance to read at all closely. I would’ve pasted in a chart and some quotations in my blog article but Rich asked me not to use the materials directly.
2 Daniel Tunkelang // Sep 20, 2008 at 12:00 am
Seth, thanks for the clarification. I’d assumed that all of the ClearForest technology was now part of Calais. I’ll follow up with Rich and hopefully learn more.
3 Daniel Tunkelang // Sep 21, 2008 at 10:18 pm
And another correction from Seth: Reuters is encouraging information publishers to use Calais to tag the content they publish, and they’re deploying ClearForest client side for extraction, but this isn’t a core part of the solution.
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