Alternative Data News | Neudata

NLP applied to post-earnings call announcement drift

Applying NLP tools to earnings calls, company filings and financial documents is not new to the world of alternative data. Drawing specifically on earnings calls, many will also be familiar with post-earnings call announcement drift (PEAD). In this report, we review literature that discusses how PEAD can be improved using linguistic approaches such as NLP.

New Literature Review 29 Nov 2022
Analysing Tokyo’s office rental market using J-REIT data

We summarise a 2021 study that analysed J-REIT data. The study evaluates the effects over time of three price-forming factors on the capitalisation rate of office real estate in Tokyo’s business districts.

Literature Review 15 Nov 2022
Stock predictions using Chinese investors’ online sentiment

We summarise a study examining how the sentiment of Chinese retail investors can be used to predict stock price movement. The study found alternative data from Xueqiu, a Chinese social media platform for retail investors, improved the accuracy of Chinese A-share price predictions.

Literature Review 1 Nov 2022
News-based sentiment for economic forecasting in Japan

We summarise key findings from a research paper that examines using sentiment analysis of news sources as a leading indicator of economic performance in Japan.

Literature Review 18 Oct 2022
Investment strategies between the Chinese stock market and commodity markets

We summarise the key findings from a recent research paper that examines the dynamic relationship and volatility spillover effect between the Chinese stock market and Chinese commodity markets.

Literature Review 4 Oct 2022
Measuring biodiversity with satellite data

Given some of the limitations of in-situ biodiversity data, the authors explore using satellite data to derive biodiversity-related physiological proxies. We summarise the data sources, advantages and limitations discussed in the research, and highlight potentially relevant satellite data providers.

Literature Review 20 Sep 2022
Is cryptocurrency a diversifier, hedge or safe haven?

We summarise a 2022 paper that examines whether Bitcoin and the aggregate cryptocurrency market acts as a diversifier, hedge or safe haven to US stocks, bonds, US dollar, commodities, real estate and gold.

Literature Review 6 Sep 2022
Inspecting the securities lending market through alternative data

Published research suggests the securities lending market is opaque and subject to non-competitive features. We summarise the findings of this research and examine the suitability of IHS Markit’s Securities Finance product in assessing securities lending market activity.

Literature Review 24 Aug 2022
Comprehending machine learning explainability: deep neural networks and automated trading

We summarise a recent paper based on a high-frequency trading firm that adopts deep neural network (DNN) machine learning systems for trading functions. The paper considers how we can begin to explain the decisions of DNNs, despite their opacity.

Literature Review 9 Aug 2022
Inflation studies – anticipating official CPI figures with alternative data

With current concerns over rising inflation across major economies, we summarise two studies that anticipate official CPI figures ahead of their release. These studies use high-frequency alternative data sources, which are found to improve the forecast accuracy of inflation models and provide timely insights into global pricing dynamics.

Literature Review 26 Jul 2022

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