Quantess February Seminar 2020 – Predicting Intraday Risk and Liquidity with News Analytics

We organised a seminar in February 2020, again kindly hosted by Macquarie, where we were thrilled to have Ryoko Ito as our speaker.

Ryoko Ito is an Equities Execution Research Strat in the Quantitative Execution Services (QES) team at Goldman Sachs. Ryoko will give a talk titled “Predicting Intraday Risk and Liquidity with News Analytics”. Prior to this, she worked at UBS, during which she managed a team of quants and economists responsible for designing and executing a large set of econometric models in firm-wide regulatory stress tests. She also spent two-years as a postdoctoral researcher at Oxford University, during which she lectured financial econometrics at Saïd Business School. She has published academic papers on time series analysis and financial econometrics. Her recent work on modelling time series with zero-valued observations appeared in the Journal of Econometrics in 2019. Ryoko has a PhD in economics from Cambridge University.

Title: Predicting Intraday Risk and Liquidity with News Analytics

We analyse the relation between news arrival intensity, volatility and volume at an intraday frequency using a global dataset. The analysis is based on the Refinitiv news analytics platform, which uses natural language processing to perform entity recognition, classification by topic and sentiment analysis. We find strong evidence that both volume and volatility forecasts can be improved using news analytics data. Our model can be applied to optimal execution both at the stock and at the portfolio level.

Thank you for being part of Quantess. We look forward to having you join us!