Is it just me? No - HSBC are in on the act too.

It is not news that news moves financial markets. This blog will publish research on how, when, why, and which news moves what financial markets.

Is it just me that thinks that this research is useful (and profitable)?

Thankfully no. HSBC do too.

Stacy Williams, in a presentation entitled “The Foreign Exchange Market and the Growing Role Of Quantitative Analysis” from 22nd September 2004, mentions that one goal of quantitative analysis is to look at economic surprises. The measurement of the ‘news’ component of macro economic announcements and to identify market moving data releases.

Mr. Williams, Director of Quantitative Strategy and Model Trading - Global Markets, states that there is a:

Wide range of economic and survey data is published for the major economies most weeks

· These data releases clearly have market impact and participants monitor them avidly

· Numbers are generally assessed in a relatively ad hoc way - which is individually and immediately

· Why not do it systematically?

And:

The absolute level of a number may be most relevant for the economy as a whole - payrolls positive or negative ?

· ... but markets have already priced in expectations

· In the market we care about how far from consensus the release is - the ‘surprise' element

· It’s this surprise element which can now systematically monitor

He shows the impact of the Chicago PMI on a financial market (I can’t tell which):

The chart should look familiar to regular readers of this blog. For example,here, or here, or even here.

It is nice to know it is not just me that thinks this is interesting.