NLP beyond sentiment: the new source of Alpha

The boundaries of true alpha have been pushed further since the last 10 years with the development of a large variety of alternative risk premia (ARP) strategies as a new layer between passive/beta investing and active alpha generation. Today, in order to go beyond risk premia strategies, alpha generators need to use not only current market observables (prices of assets, implied volatilities, …) but also some true fundamental forward-looking information as well as exogeneous variables directly rooted in macroeconomics, socioeconomics and geopolitics. Natural Language Processing (NLP) technology can be used today to identify stable causal and predictive relationships…