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

Welcome to Quantess’ February 2020 Seminar, kindly hosted by Macquarie on Wednesday 26 February. We are thrilled to announce Ryoko Ito as our speaker at this event.

Ryoko 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”.

Please come along to hear a fascinating talk and get to know each other over drinks and nibbles, kindly provided by Macquarie.

Please note: the seminar will start promptly at 7:00pm so please start arriving from 6.30pm at:

Macquarie Bank

Ropemaker Place,

28 Ropemaker Street,

London EC2Y 9HD

Title: Predicting Intraday Risk and Liquidity with News Analytics

Summary: 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.

Speaker Bio:

Ryoko Ito is an Equities Execution Research Strat in the Quantitative Execution Services (QES) team at Goldman Sachs. 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. She undertook research projects with her PhD sponsors; one on liquidity prediction and order-book analysis in high-frequency FX at Morgan Stanley, and another on modelling systemic risk in the European banking system at the International Monetary Fund. Ryoko also completed Part III of the Mathematical Tripos at Cambridge University.

To ensure your attendance, please register for tickets early through our Eventbrite page. Tickets sales will close by noon Tuesday 25 February.

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