用NLP分析财报电话会的盈余公告后漂移

登录后收藏

学术论文

PEAD.txt:用文本刻画盈余公告后漂移

作者Vitaly Meursault; Pierre Jinghong Liang; Bryan Routledge; Madeline Marco Scanlon

机构
  • Federal Reserve Bank of Philadelphia
  • Federal Reserve Banks - Federal Reserve Bank of Philadelphia
  • Carnegie Mellon University
  • Tepper School of Business, Carnegie Mellon University
  • Carnegie Mellon University - David A. Tepper School of Business
  • University of Pittsburgh

本篇策略设有付费墙

付费套餐可解锁完整推导、交易规则、Python 与成交记录。策略库约 20% 保持免费。

投资标的:SPY、BIL。再平衡:每月。Universe: SPY, BIL. Parameters: rebalance=monthly.