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Text Mining Corporate Filings by Yin Luo

Web scraping, distributed cloud computing, NLP, and machine learning techniques (in short, text mining) can be applied to systematically analyze corporate filings from the EDGAR database. Equipped with his own NLP algorithms, Yin Luo, Vice Chairman at Wolfe Research, studies a wide range of models based on corporate filing data: measuring the document tone or sentiment with finance oriented lexicons; investigating the changes in the language structure; computing the proportion of numeric versus textual information, and estimating the word complexity in corporate filings; and lastly, using machine learning algorithms to quantify the informative contents. His NLP-based stock selection signals have strong and consistent performance, with low turnover and slow decay, and is uncorrelated to traditional factors.

You can now watch Yin's full talk from QuantCon NYC 2017.

Text Mining Unstructured Corporate Filing Data

QuantCon 2018 Returns to NYC

Don't miss QuantCon NYC 2018 April 27th-28th! The event focuses on on algorithmic trading and portfolio optimization, and how data science, alternative data sets, and machine learning, can help you craft and improve on your trading strategies. Confirmed speakers and talks include:

  • Optimizing Trading Strategies without Overfitting by Dr. Ernest Chan, Managing Member at QTS Capital Management LLC.
  • Automation of Equity Markets, the Evolution of High Frequency Trading and the Applicability of Deep Learning by Robert Litzenberger, Professor Emeritus at Wharton, and Alexander Litzenberger, Carnegie Mellon Student
  • Return Predictability and Market-Timing: A One-Month Model by Petra Bakosova, Chief Operating Officer at Hull Investments
  • The Crucial Role of Custom/Alternative Data in Finding Alpha (Using Text-Mined ESG Data as an example) by Dr. Stephen Malinak, Chief Data and Analytics Officer at TruValue Labs

As part of the Quantopian community we would like to offer you a 10% discount on any ticket by using code QCommunityQuantCon2018 at checkout! RSVP here.

 

 

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