Beyond Semantic Analysis Utilizing Social Finance Data Sets to Improve Quantitative Investment Models by Leigh Drogen, founder and CEO of Estimize

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Leigh will present Moving Beyond Semantic Analysis and Sentiment - Deriving Alpha from Crowdsourced and other Social Finance Datasets. Leigh is the founder and CEO of Estimize. Prior to founding Estimize, Leigh ran Surfview Capital, a New York based quantitative investment management firm trading medium frequency momentum strategies. He was also an early member of the team at StockTwits where he worked on product and business development. Leigh got his start in the institutional finance world as a quantitative analyst with Geller Capital, a White Plains-based hedge fund. He holds a B.A. in political science and economics with an emphasis on war theory from Hunter College in New York City. This presentation was part of QuantCon 2015 hosted by Quantopian. Visit us at: www.quantopian.com.

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Beyond Semantic Analysis: Utilizing Social Finance
Data Sets to Improve Quantitative Investment Models
Leigh Drogen
Estimize Founder and CEO

New Social Finance Data Sets
3
Wait a minute….
Why is Bloomberg on that slide?

New Social Finance Data Sets
4
Did you know that Bloomberg sells
access to the entire corpus of its
users’ anonymized chat history?

New Social Finance Data Sets
5
Please collect your blown minds from
the floor now so that we can move on.

Moving Beyond Sentiment and Semantic Analysis
6

Moving Beyond Sentiment and Semantic Analysis
7
•Proxy for investor attention
•Identifying market influencers
•Larger and more diverse sample sets
•Removing the sell side bias

Academic Studies
8
• Wisdom of Crowds: The Value of Stock Opinions Transmitted
Through Social Media - Hailiang Chen, Prabuddah De, Jeffrey
Hu, and Byoung Hwang
• Crowdsourcing Forecasts: Competition for Sell Side Analysts?
- Rick Johnston
• Generating Abnormal Returns Using Crowdsourced Estimates
from Estimize - Leigh Drogen and Vinesh Jha
• The Value of Crowdsourcing: Evidence From Earnings
Forecasts - Barbara Bliss

Estimize Notable Estimates
15
• Differ from the average estimate by a minimum percentage, or by a
minimum standard deviation, reflecting fact that some stocks naturally
have less uncertainty built into their estimates.
• If stock’s earnings have previously deviated significantly from
expectations, Notable Estimate must be even more differentiated - as
these companies are likely to report farther away from the crowd’s
expectations.
• Estimate must be made at least five days in advance of expected
earnings in order to be considered Notable.
• Contributor must have a strong track record of providing accurate
earnings estimates to Estimize within the sector.

Stock Groupings
16
• GICS industry and sector groupings are generated based on how
companies produce revenue.
• While sell side analysts organize along these lines, the vast majority of
market participants do not.
• Social finance platforms like Estimize, SeekingAlpha, StockTwits or
Twitter allow users to contribute across whatever stocks they wish.
• By looking at the overlap in these stocks we are able to create higher
correlated groupings.
• These groupings can be used as an alternative risk factor when
constructing portfolios.

Investor Attention Proxy
17
• Social finance platforms give an opportunity to measure what investors
are looking at and talking about, enabling us to measure several
heuristics including information availability.
• The immediate price and volume reaction to a firm’s earning surprise is
much stronger, and the post-earnings announcement drift is much
weaker for firms with crowd following.
• Higher levels of trading volume surrounding earnings announcements
for firms that have an active investor following.
• Rise and decline in investor attention on other platforms (OpenFolio,
Slingshot Insights, StockTwits) may provide similar insights.

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Making it Rain:How to be Prepared, Not Scared, for Your Acquisition, IPO & More

bbispham

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Hocein

FREE MANAGEMENT CONSULTING COURSE on www.oeconsulting.be Tips for starting a business : 1. The “Does it matter?”-Test Trust your emotions. Know that a problem can suddenly become an opportunity to start from scratch without a legacy to carry on. A project has to meet specific needs or create something compelling, like a feature that sparks an emotion that you want to see. 2. Make a little, Try a Little and Sell a Little Avoid getting too much money too soon. 3. Selling Your project & Yourself 4. Community organizing Identifying the people around you with whom you can create a common, passionate cause 5. Executing your project Think of execution as a series of rapid prototypes. Great projects get instant feedback and do instant adjustment cycles. The more iterations you can rapidly go through, the faster you can execute your project. Starting your own business with “Lean start-up” : Lean startup is a methodology for developing businesses and products, which aims to shorten product development cycles and rapidly discover if a proposed business model is viable, because the primary objective is to have a safe cash flow which then can be invested in risky developments. Central to the lean startup methodology is the assumption that when startup companies invest their time into iteratively building products or services to meet the needs of early customers, the company can reduce market risks like creating a complete product that doesn’t appeal to the customers or like creating a lot of features that are not used or required by the customers. So the advantage is that there is no need for large amounts of initial project funding and expensive product launches and failures. This is done with two techniques : A minimum viable product “MVP” (similar to a pilot experiment) is the version of a new product which allows a team to collect the maximum amount of validated learning about customers with the least effort A split or A/B test is an experiment in which different versions of a product are offered to customers at the same time. The goal of a split test is to observe differences in behavior between the two groups and to measure the impact of each version on an actionable metric. Customer feedback during the development of products or services is integral to the lean startup process, and ensures that the company does not invest time designing features or services that consumers do not want. Customer feedback is measured through two processes, using key performance indicators and a continuous deployment process. A new way of funding your project is crowdfunding : Collect small amounts at a large public via the internet for your project

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Making it Rain:How to be Prepared, Not Scared, for Your Acquisition, IPO & More

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Making it Rain:How to be Prepared, Not Scared, for Your Acquisition, IPO & More

Management Consulting - Personal Growth & Leadership

Personal leadership - Lean startup, funding, business plan, new job

The Elusive Measurement Dilemma of Sports Sponsorship ROI

Making it Rain:How to be Prepared, Not Scared, for Your Acquisition, IPO & More

Beyond Fundraising

Mobilizing Resources

Lee marvin pitching-hacks

Funding 101 9-19-17

Hkaf

Introduction to crowdfunding platforms

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