Handbook of Alternative Data in Finance, Volume I motivates and challenges the reader to explore and apply Alternative Data in finance. The book provides a robust and in-depth overview of Alternative Data, including its definition, characteristics, difference from conventional data, categories of Alternative Data, Alternative Data providers, and more. The book also offers a rigorous and detailed exploration of process, application and delivery that should be practically useful to researchers and practitioners alike.
- Includes cutting edge applications in machine learning, fintech, and more
- Suitable for professional quantitative analysts, and as a resource for postgraduates and researchers in financial mathematics
- Features chapters from many leading researchers and practitioners
Chapter 1. Alternative Data: Overview
Gautam Mitra, Kieu Thi Hoang, Alexander Gladilin, Yuanqi Chu, Keith Black and Ganesh Mani
Part I. Alternative Data: Processing and Impact.
Chapter 2. Contemplation and Reflection on Using Alternative Data for Trading and Fund Management
Chapter 3. Global Economy and Markets Sentiment Model.
Jacob Gelfand, Kamilla Kasymova, Seamus O’Shea and Weijie Tan
Part II. Coupling Models with Alternative Data for Financial Analytics
Chapter 4. Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment
Zhixin Cai, Christina Erlwein-Sayer and Gautam Mitra
Chapter 5. AI, Machine Learning and Quantitative Models.
Gautam Mitra, Yuanqi Chu, Arkaja Chakraverty and Zryan Sadik
Part III. Handling Different Alternative Datasets.
Chapter 6. Asset Allocation Strategies: Enhanced by Micro-Blog.
Zryan Sadik, Gautam Mitra, Shradha Berry and Diana Roman
Chapter 7. Asset Allocation Strategies: Enhanced by News.
Zryan Sadik, Gautam Mitra, Ziwen Tan, Christopher Kantos and Dan Joldzic
Chapter 8. Extracting Structured Datasets from Textual Sources: Some Examples.
Matteo Campellone and Francesco Cricchio
Chapter 9. Comparative Analysis of NLP Approaches for Earnings Calls.
Christopher Kantos, Dan Joldzic, Gautam Mitra and Kieu Thi Hoang
Chapter 10. Sensors Data.
Alexander Gladilin, Kieu Thi Hoang, Gareth Williams and Zryan Sadik
Part IV. Alternative Data Use Cases in Finance.
Part IV.A. Application in Trading and Fund Management( Finding New Alpha).
Chapter 11. Media Sentiment Momentum.
Anthony Luciani, Changjie Liu and Richard Peterson
Chapter 12. Defining Market States with Media Sentiment.
Tiago Quevedo Teodoro, Joshua Clark-Bell and Richard L. Peterson
Part IV.B. Application in Risk Control
Chapter 13. A Quantitative Metric for Corporate Sustainability.
Dan diBartolomeo and William Zieff
Chapter 14. Hot off the Press: Predicting Intraday Risk and Liquidity with News Analytics.
Ryoko Ito, Giuliano De Rossi and Michael Steliaros
Chapter 15. Exogenous Risks Alternative Data Implications for Strategic Asset Allocation: Multi-Subordination Levy Processes Approach.
Part IV.C. Case Studies on ESG.
Chapter 16. ESG Controversies and Stock Returns.
Tiago Quevedo Teodoro, Joshua Clark-Bell and Richard L. Peterson
Chapter 17. Oil and Gas Drilling Waste: A Material Externality.
J. Blake Scott
Chapter 18: ESG Scores and Price Momentum Are Compatible: Revisited.
Part V. Directory of Alternative Data Vendors.
"Alternative data has become a hot topic in finance. New kinds of data, new data sources, and of course new tools for processing such data offer the possibility of new and previously unsuspected signals. In short alternative data lead to the promise of enhanced predictive power. But such advance does not come without its challenges - in terms of the quality of the data, the length of its history, reliable data capture, the development of appropriate statistical, AI, machine learning, and data mining tools, and, of course, the ethical challenges in the face of increasingly tough data protection regimes. Gautam Mitra and his colleagues have put together a superb collection of chapters discussing these topics, and more, to show how alternative data, used with care and expertise, can reveal the bigger picture."
– Professor David J. Hand, Emeritus Professor of Mathematics and Senior Research Investigator, Imperial College, London
"Digital capital is now so important that it can rightly be viewed as a factor of production, especially in the financial sector. This handbook does for the field of alternative data what vendors of alternative data do for data itself; and that is to provide structure, filter noise, and bring clarity. It is an indispensable work which every financial professional can consult, be it for an overview of the field or for specific details about alternative data."
– Professor Hersh Shefrin, Mario L. Belotti Professor of Finance, Santa Clara University
An impressive and timely contribution to the fast developing discipline of data driven decisions in the trading and management of financial risk. Automated data collection, organization, and dissemination is part and parcel of Data Science and the Handbook covers the current breadth of these activities, their risks, rewards, and costs. A welcome addition to the landscape of quantitative finance.
–Professor Dilip Madan, Professor of Finance, Robert H. Smith School of Business
"The Handbook of Alternative Data in Finance is the most comprehensive guide to alternative data I have seen. It could be called the Encyclopaedia of Alternative Data. It belongs to the desktop, not the bookshelf, of every investor."
– Ernest Chan, Respected Academic, Author, Practicing Fund Manager, Entrepreneur and Founder of PredictNow.AI
"Professor Gautam Mitra and his team unpack the topic of alternative data in finance, an ambitious endeavor given the fast-expanding nature of this new and exciting space. Alternative data powered by Natural Language Processing and Machine Learning has emerged as a new source of insights that can help investors make more informed decisions, stay ahead of competition and mitigate emerging risks. This handbook provides a strong validation of the substantial added value that alternative data brings. It also helps promote the idea that data driven decisions are better and more sustainable – something we, at RavenPack, firmly believe."
– Armando Gonzalez, CEO and Founder of RavenPack
"As the 1st Duke of Marlborough, John Churchill, wrote in 1715: 'No war can be conducted successfully without early and good intelligence.' The same can be said for successful trading. In that light, the Handbook of Alternative Data in Finance contains vital insights about how to gather and use alternative data —in short, intelligence —to facilitate successful trading."
– Professor Steve H. Hanke, Professor of Applied Economics, The Johns Hopkins University, Baltimore, USA
"The Handbook of Alternative Data in Finance is cutting edge and it bridges a huge gap in the representative studies on emerging areas of finance where alternative data can be profitably utilised for better informed decisions. The practical insights in the book would come very handy to both investors and researchers who look for fresh ideas."
– Ashok Banerjee, Director, Indian Institute of Management Udaipur, Formerly Dean, and Faculty-in-charge of the Finance Lab at Indian Institute of Management Calcutta