Finding Alpha in Short Interest Data, by Jessica Stauth, PhD

Change in date! 3/28, not 3/14.

With the commoditization of such basic quant factors as value and momentum, in recent years systematic investors have turned more and more to sentiment based alpha signals. Aggregated open short interest level provides a profitable, low turnover signal rooted in buy-side sentiment, aka "the smart money." Dr. Stauth will cover the basics of short selling and data availability and will review the research and proprietary formulation of the StarMine short interest model as well as covering a range of sample trading strategies.

Speaker Info: Jess Stauth is the Director of Quant Product Strategy for Thomson Reuters. Dr. Stauth holds a PhD in Biophysics from UC Berkeley. She moved into finance as a quant research analyst at the StarMine Corporation based in San Francisco where she spent 4 years building stock ranking models including the "Smart Money" models (short interest, insiders and institutional ownership). In her current role with Thomson Reuters, Jess is focused on providing new data and analytics tools, including Thomson Reuters QA Direct and QA Studio platforms, to quantitative investment professionals.

This talk is sponsored by Quantopian.  Enjoy some food and beverages beforehand, compliments of Quantopian!

 

If the doors are locked, call fawce @[masked]

If you are driving, the best parking is in the open lots in Fort Point. There is one on A street, along the Fort Point Channel. Drive down Summer street, over the bridge, come to a set of lights. Turn right on Melcher Street, drive to the end, turn right onto A Street, and lot will be on your right. Here's the google streetview of the lot:

http://bit.ly/RFUjpZ

Join or login to comment.

  • fawce

    April 5, 2013

  • mustafa

    Jess mentioned we can reach the presentation. Do you know how we can get it? It was a great presentation. Thank you for arranging it.

    March 29, 2013

  • Don O.

    Thanks, appreciate it.

    March 28, 2013

  • Dan D.

    It was recorded. It will take a few days for us to put it up.

    March 28, 2013

  • Matt

    Is this being recorded?

    March 28, 2013

  • Matt

    I was called at last moment. :-( perhaps that last person can have my RSVP?

    March 28, 2013

  • Dennis R.

    I hate missing this session tonight, but I have a conflict. Please let the waiting list people know.
    Thanks.

    March 28, 2013

  • RichMan

    I'll be there

    March 25, 2013

  • Richard W.

    I'll be there

    March 21, 2013

  • Max R.

    Man plans, God laughs.

    March 18, 2013

  • Nik

    Looking forward to it...is there a mailing list that Jessica can add us on ?

    March 17, 2013

    • Dan D.

      Will see you there! I'm not sure what mailing list you mean?

      March 17, 2013

  • nicholas

    just a noob trying to learn

    March 12, 2013

  • Mark H.

    I'm looking forward to it!

    March 8, 2013

  • George T.

    Working on a speedy ramp up to algo trading.

    February 23, 2013

  • Roger

    I'm looking forward to it!

    February 17, 2013

  • Bryan F.

    I am an algorithmic currency trader out of CT, I will be attending this event.

    February 10, 2013

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Rafaël

We just grab a coffee and speak French. Some people have been coming every week for months... it creates a kind of warmth to the group.

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