Loading Events

« All Events

  • This event has passed.

Next Boston QWAFAFEW Meeting: Tuesday, 17 Oct 2017

October 17 @ 6:00 pm - 8:00 pm

| $30

Next Boston QWAFAFEW Meeting: 

Tuesday, 17 Oct 2017

 

Time: 6:15 PM sharpe

3rd Floor of the Tennis & Racquet Club, 939 Boylston Street

RSVP to hugh@QWAFAFEW.org

QWAFAFEW Mailing List

 

 Risk Systems That Read®, A Live Application of Text Analytics

 

QWAFAFEW discussion led by:

 

Dan diBartolomeo

 

 Abstract

 

This month Northfield introduced the first commercially available factor risk models that incorporate computerized analysis of news text directly into volatility risk forecasts for individual stocks, corporate bonds, industry groups and ETFs based on market indices.    We believe this is the most significant innovation in factor risk models in more than three decades.   Each day the content of thousands of news articles are now part of the input for our risk assessments. The line of research that led to this innovation stretches back to 1997 and includes three papers: diBartolomeo and Warrick (2005), diBartolomeo, Mitra, Mitra (2009) and Shah (2015).   In this presentation, we will cover the text analytics that are now part of model inputs,  the framework of how the text analysis is used to condition factor models for both equities and corporate bonds.  The latter half of the presentation will focus on this model enhancement will contribute to improved portfolio returns by providing a positive definition of security specific risk, as opposed to being the dispersion of the residuals of the factor modeling.  To the extent that security specific risk is widely used to represent the opportunity set for active management to add value, improved assessment of security specific risk should add effectiveness to quantitative strategies.

 

 

 

 

 

Bio

 

Mr. diBartolomeo is President and founder of Northfield Information Services, Inc.  Based in Boston since 1986, Northfield develops quantitative models of financial markets.   He sits on boards of numerous industry organizations include IAQF and CQA, and is a director and past president of the Boston Economic Club.  His publication record includes more than thirty books, book chapters and research journal articles.   In addition, Dan is has been a Visiting Professor at Brunel University, and has been admitted as an expert witness in litigation matters regarding investment management practices and derivatives in both US federal and state courts.

 

 

 

Please RSVP hugh@QWAFAFEW.org

 

QWAFAFEW Mailing List

 

 

 

All annual dues ($150) should be paid to Boston QWAFAFEW by credit card, Bitcoin or check.

By credit card (PayPal)

http://qwafafew.org/BostonPayDues.html

 

By Bitcoin

Send us Bitcoin, our address is:

153GtwqHHxdHaTh8i1SC1UmZUuFpXN6wye

Please send a separate email identifying your anonymous payment.

 

By check:

Executive Management Associates

12 Academy Avenue

Atkinson, NH  03811

bostonqwafafewbilling@gmail.com

 

 

Please RSVP for all meetings you plan to attend: hugh@QWAFAFEW.org

Guests who do not RSVP may have to wait to enter the meeting, due to space constraints (capacity=100, BFD).

 

Guest fees ($30) can be paid through EMA (check or PayPal, bring receipt) or bitcoin (at address above).  The $30 guest fee can be paid by bitcoin, cash or check at the door, no credit cards at the meeting. Please bring exact change (eg: two twenties = $40 Guest Fee).

 

As always, if you have names or discussion topics, please forward them to any member of the Steerage Committee

 

Questions, comments:

 

 

Steerage Committee

Hugh Crowther

Dan diBartolomeo

Mike Dunn

Steve Gaudette

Sri Krishnamurthy

Mark Kritzman

John Minahan

Donna Cool Murphy (Dinners)

Larry Pohlman

Dan Potter

Dan Rie

Evan Schulman

Michael Wilcox

 

The members of the Steerage Committee are responsible for coordinating the program content.

Program suggestions from members are always welcome.

 

RSVP to: hugh@QWAFAFEW.org

Details

Date:
October 17
Time:
6:00 pm - 8:00 pm
Cost:
$30

Organizer

Hugh
Email:
hugh@QWAFAFEW.org

Venue

Tennis & Racquet Club
3rd Floor of the Tennis & Racquet Club, 939 Boylston Street
Boston, MA,
+ Google Map