Google Based Investor Sentiment And Its Implementation Into A Trading Strategy
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Google Based Investor Sentiment And Its Implementation Into A Trading Strategy
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Author : Martin Oehry
language : en
Publisher:
Release Date : 2012
Google Based Investor Sentiment And Its Implementation Into A Trading Strategy written by Martin Oehry and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Trading On Sentiment
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Author : Richard L. Peterson
language : en
Publisher: John Wiley & Sons
Release Date : 2016-03-21
Trading On Sentiment written by Richard L. Peterson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-21 with Business & Economics categories.
In his debut book on trading psychology, Inside the Investor’s Brain, Richard Peterson demonstrated how managing emotions helps top investors outperform. Now, in Trading on Sentiment, he takes you inside the science of crowd psychology and demonstrates that not only do price patterns exist, but the most predictable ones are rooted in our shared human nature. Peterson’s team developed text analysis engines to mine data - topics, beliefs, and emotions - from social media. Based on that data, they put together a market-neutral social media-based hedge fund that beat the S&P 500 by more than twenty-four percent—through the 2008 financial crisis. In this groundbreaking guide, he shows you how they did it and why it worked. Applying algorithms to social media data opened up an unprecedented world of insight into the elusive patterns of investor sentiment driving repeating market moves. Inside, you gain a privileged look at the media content that moves investors, along with time-tested techniques to make the smart moves—even when it doesn’t feel right. This book digs underneath technicals and fundamentals to explain the primary mover of market prices - the global information flow and how investors react to it. It provides the expert guidance you need to develop a competitive edge, manage risk, and overcome our sometimes-flawed human nature. Learn how traders are using sentiment analysis and statistical tools to extract value from media data in order to: Foresee important price moves using an understanding of how investors process news. Make more profitable investment decisions by identifying when prices are trending, when trends are turning, and when sharp market moves are likely to reverse. Use media sentiment to improve value and momentum investing returns. Avoid the pitfalls of unique price patterns found in commodities, currencies, and during speculative bubbles Trading on Sentiment deepens your understanding of markets and supplies you with the tools and techniques to beat global markets— whether they’re going up, down, or sideways.
An Extreme Firm Specific News Sentiment Asymmetry Based Trading Strategy
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Author : Qiang Song
language : en
Publisher:
Release Date : 2015
An Extreme Firm Specific News Sentiment Asymmetry Based Trading Strategy written by Qiang Song and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
News sentiment has been empirically observed to have impact on financial market returns. In this study, we investigate firm-specific news from the Thomson Reuters News Analytics data from 2003 to 2014 and propose an optimal trading strategy based on a sentiment shock score and a sentiment trend score which measure extreme positive and negative sentiment levels for individual stocks. The intuition behind this approach is that the impact of events that generate extreme investor sentiment changes tends to have long and lasting effects to market movement and hence provides better prediction to market returns. We document that there exists an optimal signal region for both indicators. And we also show extreme positive sentiment provides better a signal than extreme negative sentiment, which presents an asymmetric market behavior in terms of news sentiment impact. The backtest results show that extreme positive sentiment generates robust and superior trading signals in all market conditions, and its risk-adjusted returns significantly outperform the S&P 500 index over the same time period.
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies
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Author : Changmei Zhang
language : en
Publisher:
Release Date : 2010
Two Essays On Investor Sentiment And The Profitability Of Contrarian And Momentum Strategies written by Changmei Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Foreign exchange market categories.
Stock Return Predictability And Investor Sentiment
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Author : Licheng Sun
language : en
Publisher:
Release Date : 2016
Stock Return Predictability And Investor Sentiment written by Licheng Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
We explore the predictive relation between high-frequency investor sentiment and stock market returns. Our results are based on a proprietary dataset of high-frequency investor sentiment, which is computed based on a comprehensive textual analysis of sources from news wires, internet news sources, and social media. We find substantial evidence that intraday S&P 500 index returns are predictable using lagged half-hour investor sentiment. The predictability is evident based on both in-sample and out-of-sample statistical metrics. We document that this sentiment effect is independent of the intraday momentum effect, which is based on lagged half-hour returns. While the intraday momentum effect only exists in the last half hour, the sentiment effect persists in at least the last two hours of a trading day. From an investment perspective, high-frequency investor sentiment also appears to have significant economic value when evaluated with market timing trading strategies.
Sample Selection And The Relation Between Investor Sentiment And Profitable Trading Strategies
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Author : James Bulsiewicz
language : en
Publisher:
Release Date : 2015
Sample Selection And The Relation Between Investor Sentiment And Profitable Trading Strategies written by James Bulsiewicz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Recent evidence suggests that there is strong relation between investor sentiment and cross-sectional anomalies. However, I present evidence of a weak relation between cross-sectional anomalies and investor sentiment. Using a larger collection of cross-sectional anomalies, I find that only a small subsample of these anomalies exhibit a relation with investor sentiment. This result does not appear to be due to certain anomalies being more sensitive to changes in macroeconomic conditions. I then simulate 10,000 long-short portfolios, but find that only 10% of these portfolios have a relation with investor sentiment. Further I show that the predictive power of sentiment diminishes significantly after controlling for the Fama and French (1993) factors. These results suggest that the returns to active trading strategies are generally not due to sentiment-driven mispricing.
Identifying Investors With Sentiment Based Investment Strategies And Predicting Their Trading
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Author : Sophia Y. Luo (M. Eng.)
language : en
Publisher:
Release Date : 2020
Identifying Investors With Sentiment Based Investment Strategies And Predicting Their Trading written by Sophia Y. Luo (M. Eng.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
To the best of our knowledge, there are no algorithms that distinguish different types of investors or predict how investors react to market or non-market events. In this study, we develop a computational approach to investigate investors with sentiment-based investment strategies and predict their trading behavior. We combine a dataset of more than 600,000 brokerage accounts from 2003-2015 with the RavenPack News Analytics dataset. Then, we construct a novel sentiment investor identification mechanism to classify sentiment and non-sentiment investors. Finally, we derive three machine learning models to predict whether a sentiment investor will react to a sentiment event, the reaction magnitude, and the direction of reaction (i.e. buy vs. sell). We select models that are easily interpretable and thus more directly applicable in realworld financial applications. We find that being married and the fraction of positive events in the seven days prior to an event have negative effects on the probability of reaction; whereas, occurring before the financial crisis has a positive effect. On the other hand, the sentiment event with the largest magnitude a week prior to an event and previous sentiment trading behavior have positive effects on reaction magnitude. Finally, being married and previous sentiment trading behavior have negative effects on the probability of buying versus selling, but occurring before the financial crisis has a positive effect.
Retail Investor Sentiment And The Stock Market
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Author : Matthias Burghardt
language : en
Publisher:
Release Date : 2009
Retail Investor Sentiment And The Stock Market written by Matthias Burghardt and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Using a unique data set with 18.1 million transactions in bank-issued warrants from the European Warrant Exchange, we compute a retail investor sentiment index. We show that retail investors are contrarian, that retail investor sentiment is an important part of the equity pricing process and that we have a good measure of the sentiment. Moreover, our measure is better than existing measures for our sample period between January 2004 and December 2007. In addition, we show evidence that this data may be used for trading strategies that generate excess returns. As a whole our findings further support a role for retail investor sentiment in the equity pricing process.
Cross Market Investor Sentiment In Commodity Exchange Traded Funds
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Author : Hsiu-Lang Chen
language : en
Publisher:
Release Date : 2015
Cross Market Investor Sentiment In Commodity Exchange Traded Funds written by Hsiu-Lang Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
This study shows how the investor sentiment in the stock market affects prices of commodity exchange-traded funds (ETFs). The study provides quantitative evidence that the tracking errors of commodity ETFs differ in the bullish versus the bearish stock market, and the aggregate tracking error of commodity ETFs is sensitive to the well-known sentiment measures. The study exploits a profitable trading strategy based on investor sentiment in the stock market and commodity market. The sentiment-driven demand for commodity ETFs could exist even after consideration of trading costs, and it is a short-term phenomenon. This unique evidence indicates investor sentiment affects asset valuation across markets.
Cybersecurity And Artificial Intelligence
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Author : Hamid Jahankhani
language : en
Publisher: Springer Nature
Release Date :
Cybersecurity And Artificial Intelligence written by Hamid Jahankhani and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.