April 16, 2024 – ExtractAlpha, a leading provider of alternative data and analytics solutions, today unveiled its latest innovation: The Japan News Signal. This signal is designed specifically for the Japanese stock market and is based on Nikkei’s Flash News dataset.
The Japan News Signal combines machine learning techniques, including a sentiment model constructed from Japanese BERT, a machine learning tool that uses embedded text vectors to predict long-term results. This unique approach allows the signal to capture sentiment, as well as more persistent and latent predictive features of the news data.
Nikkei Flash News, a proprietary dataset of Nikkei’s Japan-focused news articles, provides the foundation for the Japan News Signal. With historical data available from 2011 and about 1.5 million articles as of 2023, the dataset offers comprehensive coverage of around 3,000 listed companies per year.
Traditional news-based signals often focus on capturing positive and negative sentiment. However, the Japan News Signal goes beyond that by identifying more persistent and latent predictive features of the news, enabling it to identify greater alpha at longer horizons.
Vinesh Jha, CEO and founder of ExtractAlpha adds, “Initial testing of the Japan News Signal has shown promising results, with stable and unique alpha generated for the Japanese stock market. The signal also boasts relatively low turnover and modest drawdowns, making it an attractive option for investors seeking to maximize returns in the Japanese market.”
Toshio Machida, Managing Executive Officer, ScoutAsia Business of Nikkei said, “The Nikkei Group has a strong foundation of news and data around economic, industry, business management, and market-related content, and our technology is highly valued by our overseas clients. We are pleased that the Nikkei’s data will be used as a solution to enhance access to Japan and Asia.”
ExtractAlpha’s Japan News Signal represents a significant advancement in NLP-based stock prediction and offers investors confidence while navigating the complexities of the Japanese market.
About ExtractAlpha
ExtractAlpha is an independent research firm dedicated to providing unique, curated, actionable datasets to institutional investors. ExtractAlpha applies extensive experience in quantitative analysis and the design of investment analytics products to interesting new datasets. These rigorously built quantitative models are designed for institutional investors to gain a measurable edge over their competitors. ExtractAlpha also partners with top FinTech data firms to identify investment value in their datasets and help investors profit from unique new sources of information.
About Nikkei
Nikkei Inc. is a world-renowned media brand for Asian news, respected for quality journalism and for being a trusted provider of business news and information. Founded as a market news provider in Japan in 1876, Nikkei has grown into one of the world’s largest media corporations, with 37 foreign editorial bureaus and approximately 1,500 journalists worldwide. Nikkei acquired the UK-based Financial Times in 2015. Our combined digital and print circulation totals about 2.3 million, and we are continually deploying new technologies to increase our readership.