Country Sentiment Factors

As an ongoing exercise at Deltix, we seek out new sources of data, raw or derived, which may be useful in quantitative research and trading. We do this for a number of reasons. Firstly, handling new and different data types is a useful exercise with which to develop and road-test our software. Secondly, if we can seed ideas that our clients find useful and develop through to profitable trading strategies then it is just plain good business. Lastly, it satisfies our intellectual curiosity.

Ravenpack (www.ravenpack.com) is a data provider of news analysis services to institutions for use in quantitative trading. They recently released a data service of country sentiment factors. A research paper using these factors is available here. We decided to implement both Ravenpack’s country sentiment factors and their research paper on our Deltix Cloud Services (DCS) platform. The results are extremely interesting. Existing DCS users can download the strategy from the Deltix Developer Network (DDN), accessed from QuantOffice via the “Samples from DDN” button. New users can subscribe DCS and download the strategy here.

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The Deltix Quantitative Research Team