[Colloquium] Reminder - Jingwen Jiang Dissertation Defense/Dec 6, 2022
Megan Woodward
meganwoodward at uchicago.edu
Tue Dec 6 08:20:52 CST 2022
This is an announcement of Jingwen Jiang's Dissertation Defense.
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Candidate: Jingwen Jiang
Date: Tuesday, December 06, 2022
Time: 1 pm CST
Remote Location: https://uchicago.zoom.us/j/97772156520?pwd=bGl5QnByWTA5Vk8rbjdsUitMYWhzdz09
Title: Expected Returns and Foundation Models of Language
Abstract: We extract contextualized representations of news text to predict returns using the state-of-the-art foundation models in natural language processing. The contextualized representation of news reflects its content more accurately than the bag-of-words representation prevalent in the literature. In particular, the latter approach is more prone to errors when negation words appear in news articles. Moreover, we provide polyglot evidence on news-induced return predictability in 16 international equity markets with news written in 13 different languages. Information in newswires is assimilated into prices with an inefficient delay that is broadly consistent with limits-to-arbitrage, yet can be exploited in a real-time trading strategy. Furthermore, a trading strategy that exploits fresh news in the form of news alerts leads to even higher Sharpe ratios.
Advisors: Dacheng Xiu
Co-advisor: Janos Simon
Committee Members: Dacheng Xiu, Janos Simon, and Chenhao Tan
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