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

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!

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  • Victor O.

    Exactly on point in terms of ability to absorb a quantitative concept in a meetup setting

    March 22, 2013

  • A former member
    A former member

    Excellent meetup, hit the sweet spot between sophistication and accessibility (and relevance for quantopian fans). Loved how models were 'killing it', very funny!

    March 21, 2013

  • Nehemia M.

    Can't be there before 8pm

    March 21, 2013

  • Peter

    Need to work late & can't attend, but it would be great if the Boston talk is uploaded.

    March 21, 2013

  • Beula

    Can't make it tonight.

    March 21, 2013

  • John T.

    Can't make it. Freeing up my spot to someone else.

    March 21, 2013

  • Dan D.

    I don't think we're going to record tonight, but Jess is doing the same talk in Boston next week, and we plan on recording her for round #2.

    March 21, 2013

    • John T.

      Cool, please keep us updated when you post the video from Boston

      March 21, 2013

  • Sandeep

    Please provide link to the video

    March 21, 2013

  • Chris

    Cannot attend due to emergency

    March 21, 2013

  • Michael

    Last minute...sorry guys. But someone waiting can take my spot! See you guys next meeting.

    March 21, 2013

  • Geert D.

    Congrats, Fawce tonight's meetup is one of NYC most popular events today! http://bit.ly/100watg

    March 21, 2013

  • drew b.

    Can't make it / freeing up my reservation. Definitely interested if the event will be recorded - thanks.

    March 21, 2013

  • John T.

    Will this session be recorded? I may not be able to make it.

    March 21, 2013

  • Neil Z.

    What to do if I am on waiting list?

    March 21, 2013

  • Biyuan Elise Z.

    Quant

    March 20, 2013

  • Roberto S.

    Looking forward

    March 16, 2013

  • Benoît Brookens I.

    Very keen on attending. -Dr. Big Data

    March 12, 2013

  • drew b.

    Looking forward to it

    February 28, 2013

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