Titre : |
Can we generate Alpha with Alternative Data ? |
Type de document : |
Mémoire |
Auteurs : |
Teddy AMBONA |
Année de publication : |
2018 |
Importance : |
25 p. |
Note générale : |
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Langues : |
Anglais (eng) |
Mots-clés : |
Management FINANCE DE MARCHE
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Résumé : |
This paper studies the predictive power of non-traditional data for future returns. We start things off by reviewing the Efficient Market Hypothesis and its implications. Then we show the endless potential of alternative datasets and the role Big Data in the hedge funds industry. After discussing already existing research on sentiment-oriented trading strategies we develop a Long/Short trading strategy based on the sentiment polarity of financial news and the volume of searches in the Google search bar. In this paper, we review the different components of the factor analysis to assess the potential of alternative data. The results of the backtest show that the strategy is market-neutral and generate a positive return. We conclude that it is possible to generate alpha with alternative datasets.
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Note de contenu : |
Bibliogr. p. 25, annexes (8 p.) |
Programme : |
PGE-Rouen |
Spécialisation : |
Finance de marché - Financial markets, Assets and Risk Management |
Permalink : |
https://cataloguelibrary.neoma-bs.fr/index.php?lvl=notice_display&id=454924 |