Identifying Investors With Sentiment Based Investment Strategies And Predicting Their Trading
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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.
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.
The Research Driven Investor
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Author : Timothy Hayes
language : en
Publisher: McGraw-Hill Companies
Release Date : 2001
The Research Driven Investor written by Timothy Hayes and has been published by McGraw-Hill Companies this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
The editor of "Investment Strategy" shows how individual investors can access institutional-quality tools, data, and indicators and consistently beat the market. Hayes presents walk-through examples of a wide variety of investment models based on more than 100 years of stock market data and research from Ned Davis Research to achieve top results. 120 illustrations. 60 tables.
Market Response To Investor Sentiment
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Author : Jördis Hengelbrock
language : en
Publisher:
Release Date : 2011
Market Response To Investor Sentiment written by Jördis Hengelbrock and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with 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.
Support Vector Machines
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Author : Naiyang Deng
language : en
Publisher: CRC Press
Release Date : 2012-12-17
Support Vector Machines written by Naiyang Deng and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-17 with Business & Economics categories.
Support Vector Machines: Optimization Based Theory, Algorithms, and Extensions presents an accessible treatment of the two main components of support vector machines (SVMs)-classification problems and regression problems. The book emphasizes the close connection between optimization theory and SVMs since optimization is one of the pillars on which
Sentiment Analysis And Ontology Engineering
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Author : Witold Pedrycz
language : en
Publisher: Springer
Release Date : 2016-03-22
Sentiment Analysis And Ontology Engineering written by Witold Pedrycz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-03-22 with Technology & Engineering categories.
This edited volume provides the reader with a fully updated, in-depth treatise on the emerging principles, conceptual underpinnings, algorithms and practice of Computational Intelligence in the realization of concepts and implementation of models of sentiment analysis and ontology –oriented engineering. The volume involves studies devoted to key issues of sentiment analysis, sentiment models, and ontology engineering. The book is structured into three main parts. The first part offers a comprehensive and prudently structured exposure to the fundamentals of sentiment analysis and natural language processing. The second part consists of studies devoted to the concepts, methodologies, and algorithmic developments elaborating on fuzzy linguistic aggregation to emotion analysis, carrying out interpretability of computational sentiment models, emotion classification, sentiment-oriented information retrieval, a methodology of adaptive dynamics in knowledge acquisition. The third part includes a plethora of applications showing how sentiment analysis and ontologies becomes successfully applied to investment strategies, customer experience management, disaster relief, monitoring in social media, customer review rating prediction, and ontology learning. This book is aimed at a broad audience of researchers and practitioners. Readers involved in intelligent systems, data analysis, Internet engineering, Computational Intelligence, and knowledge-based systems will benefit from the exposure to the subject matter. The book may also serve as a highly useful reference material for graduate students and senior undergraduate students.
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.
Technical Analysis Of The Financial Markets
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Author : John J. Murphy
language : en
Publisher: Penguin
Release Date : 1999-01-01
Technical Analysis Of The Financial Markets written by John J. Murphy and has been published by Penguin this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-01-01 with Business & Economics categories.
John J. Murphy has now updated his landmark bestseller Technical Analysis of the Futures Markets, to include all of the financial markets. This outstanding reference has already taught thousands of traders the concepts of technical analysis and their application in the futures and stock markets. Covering the latest developments in computer technology, technical tools, and indicators, the second edition features new material on candlestick charting, intermarket relationships, stocks and stock rotation, plus state-of-the-art examples and figures. From how to read charts to understanding indicators and the crucial role technical analysis plays in investing, readers gain a thorough and accessible overview of the field of technical analysis, with a special emphasis on futures markets. Revised and expanded for the demands of today's financial world, this book is essential reading for anyone interested in tracking and analyzing market behavior.
Equilibrium Portfolio Strategies In The Presence Of Sentiment Risk And Excess Volatility
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Author : Bernard Dumas
language : en
Publisher:
Release Date : 2010
Equilibrium Portfolio Strategies In The Presence Of Sentiment Risk And Excess Volatility written by Bernard Dumas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
Our objective is to identify the trading strategy that would allow an investor to take advantage of quot;excessivequot; stock price volatility and quot;sentimentquot; fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two classes of agents and stock prices are excessively volatile because one class is overconfident about a public signal. As a result, this class of overconfident agents changes its expectations too often, sometimes being excessively optimistic, sometimes being excessively pessimistic. We determine and analyze the trading strategy of the rational investors who are not overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational investors are deterred by their presence and reduce the proportion of wealth invested into equity except when they are extremely optimistic about future growth. Moreover, their optimal portfolio strategy is based not just on a current price divergence but also on their expectation of future sentiment behavior and a prediction concerning the speed of convergence of prices. Thus, the portfolio strategy includes a protection in case there is a deviation from that prediction. We find that long maturity bonds are an essential accompaniment of equity investment, as they serve to hedge this quot;sentiment risk.quot.