March 10, 2020
Refinitiv launches first stock selection model based on Media Sentiment in collaboration with MarketPsych
Refinitiv StarMine MarketPsych Media Sentiment (MMS) model captures a uniquely valuable aspect of market information designed to forecast returns independent of past price action and fundamentals
NEW YORK – Refinitiv released its first partnered stock-ranking model, StarMine MarketPsych Media Sentiment (MMS), in collaboration with MarketPsych. The model combines the premier financial media sentiment data and research from MarketPsych with the stock-ranking approach and rigorous methodologies from StarMine. MMS scores are intended for use in factor models, buy/sell recommendations and sentiment profiling by traders, quantitative analysts and risk managers.
Designed to forecast return rankings over 30 days, MMS distills sentiments about individual stocks from millions of news articles and social media comments each day into a single daily percentile ranking for over 5,000 US-listed stocks. The model not only shows consistent outperformance between higher and lower deciles, but also demonstrates little to no correlation to traditional market factors and other StarMine models.
Austin Burkett, Head of Quant & Feeds, Refinitiv, comments:
“We are very pleased to expand our relationship with MarketPsych, a leading pioneer in financial media sentiment, while simultaneously applying our StarMine research team’s transparent and robust research process. This partnered analytics product combines the strengths of both organizations into a respected client capability and demonstrates Refinitiv’s ability to partner with alternative data providers to co-develop new cutting-edge stock selection models.”
Quantifiable company sentiments and themes are aggregated into MMS’ daily scores, which are derived from Refinitiv’s MarketPsych Indices (RMI), a market leader in financial media sentiment data. With a history of over 20 years, RMI is a unique dataset scoring media buzz, emotions and topics across thousands of news and social media sites.
Dr. Richard Peterson, CEO of MarketPsych, said: “MMS builds upon our decade of experience in monitoring financial asset sentiment, reviewing academic research, and learning how our professional clients utilize sentiment. The MMS model is a milestone both in our partnership with Refinitiv and in our work predicting financial market behavior. We are honored to have created this unique predictive product in collaboration with the modeling experts at StarMine.”
MarketPsych is a market leader in quantitative behavioral finance. MarketPsych Data’s text analytics engine uses patented natural language processing software, delivering meaningful measures derived from the global information flow. By quantifying emotions and themes in the media, MarketPsych creates useful data flows for traders, investors, risk managers and others. Refinitiv MarketPsych Indices have applications in every major asset class. Clients are located in more than 25 countries, ranging from low latency traders to pension funds. For more information about MarketPsych, visit: www.marketpsych.com.