Ernie Chan is the Managing Member of QTS Capital Management, LLC., a commodity pool operator and trading advisor. Ernie has worked for various investment banks (Morgan Stanley, Credit Suisse, Maple) and hedge funds (Mapleridge, Millennium Partners, MANE) since 1997. He received his Ph.D. in physics from Cornell University and was a member of IBM’s Human Language Technologies group before joining the financial industry. He is the author of “Quantitative Trading: How to Build Your Own Algorithmic Trading Business”, “Algorithmic Trading: Winning Strategies and Their Rationale”, and “Machine Trading: Deploying Computer Algorithms to Conquer the Markets”. Find out more about Ernie at www.epchan.com.
Keynote – Does News Sentiment add Alpha?
We will present results of the Kaggle Two Sigma News Analytics Competition. This competition provides both prices and Thomson-Reuters news sentiment data as input to predict the future returns of US stocks. We want to answer questions such as whether machine learning techniques truly outperform simple factor models, and whether news sentiment truly adds value. Our presentation will not only include our own research, but also highlights other high-performing competitors research as well.