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.

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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!