Extracting information from text in the financial markets

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Abstract:
In this presentation, Professor Sinha discusses an analysis he conducted where he extracted the text from over 2 million news articles on a Reuters terminal. He was then able to show that complex information is not immediately impounded into prices. The paper also shows that simple (but widely prevalent) ways of obtaining information from text are error-prone.

Chicago Chapter American Statistical Association
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Extracting information from text in the financial markets