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The Trading Mesh

Wall Street Horizon's Blog

Event-Driven Trading Delivers Alpha. (Remember Alpha?)

December 16, 2016 Comments (0)           

Corporate event data contains important signals that can generate alpha for the firms that have access to the data and know what to look for – whether they favor a fundamental, technical, or quantitative approach.
There is a view among some traders and investors that corporate event data falls in the realm of fundamental investment strategy, not the technical or quantitative investment approach. However, corporate event data has grown in importance and has evolved, as have the ways...

Pre-earnings Announcement Strategies

November 22, 2016 Comments (0)           

Article originally posted on Quantitative Trading blog by Dr. Ernest P. ChanMuch has been written about the Post-Earnings Announcement Drift (PEAD) strategy (see, for example, my book), but less was written about pre-earnings announcement strategies. That changed recently with the publication of two papers. Just as with PEAD, these pre-announcement strategies do not make use of any actual earnings numbers or even estimates. They are based entirely on announcement...

Technology Can’t Fully Replace Human Judgement and Intuition

November 7, 2016 Comments (0)           

by Bruce Fador, Wall Street HorizonTechnology now comprises a big part of today’s trading landscape, perhaps most of it. Beyond just automating what used be to manual tasks, technology has encroached well into the “thinking” parts of a trader’s job.
The key question for firms is where to draw the line. How much of the human touch should they outsource to machines?
It’s a tough call because technology delivers many advantages. With automated trading systems, for...

You Can't Hide Your Earnings from HFT . . . and That's a Good Thing!

January 6, 2016 Comments (0)           

By Eric SoderbergThis article originally appeared on the Wall Street Horizon blog and is re-published here with permission
Previous research has shown that the attention constraints of human traders (investors and market makers) has lead to systemic effects on stock prices.  The less attention there is on a stock, the less efficient that stock's price will be to a negative earnings surprise, for example.
Weekend DistractionsWhen DellaVigna and Pollet (2009) researched this phenomenon...