What’s In the News? Using Textual Data To Forecast Financial Returns

Tuesday, April 30 | 5:30 PM - 8:00 PM

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Overview

SQA Seminar, featuring Harry Mamaysky

Join us for an evening with Professor Mamaysky will discuss two new papers which apply natural language processing (NLP) techniques to textual data to forecast financial returns. Specifically, he and his co-authors developed a classification methodology for the context and content of textual data. In a paper with Charles Calomiris, he combined unusualness (entropy) of work flow with sentiment and frequency in central bank communications to forecast currency returns. In a brand new paper with Paul Glasserman, he applies NLP techniques to news articles to forecast stock returns in the US.

Agenda

5:30 PM | COCKTAILS & NETWORKING


6:00 PM | PRESENTATION

Professor Harry Mamaysky

Harry Mamaysky is an Associate Professor of Professional Practice at Columbia Business School, and the director of the News and Finance research initiative at the Business School’s Program for Financial Studies. Prior to his academic career, he spent quite a bit of time as a practitioner. He was formerly Head of the Systemic Risk Group at Citigroup and a member of the firm’s Risk Executive Committee, and has also worked at Old Lane, Morgan Stanley, and Citicorp.

Professor Mamaysky’s research interests lie in asset pricing, market frictions, and the role of information in financial markets. His research has appeared in leading academic journals, and he has presented at numerous academic and professional conferences. He earned his PhD in finance from the Massachusetts Institute of Technology under the supervision of Jiang Wang and Andrew Lo.


7:00 PM | COCKTAILS & NETWORKING

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Additional Details

Location

Voya
230 Park Ave
New York, NY 10169

Pricing

  • SQA Members: Regular or Academic – $50
  • Transitional or Student – $30
  • Non-Member Affiliated (including CFANY members) – $70
  • Nonmembers – $90

Please contact the office at [email protected] or 518-694-3157 if you would like to register over the phone.