In a paper publisher earlier this year, Saeed Amen, founder of macro research firm Cuemacro, outlined how machine-readable news from Bloomberg could be used to create systematic FX trading strategies.
Unstructured text data was converted into structured data, which was then aggregated into sentiment indicators for currencies. According to Amen, the news-based FX trading strategy considerably outperformed a generic FX trend-following strategy over a similar period.
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Saeed Amen, |
Bank of America Merrill Lynch recently made its first foray into FX research based on machine learning, using a combination of supervised and unsupervised learning (the latter providing no guidance to the algorithms on how to process the information) to analyse fundamental and survey data around EUR/USD.
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