The Impact Of Sentiment On Price Discovery
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The Impact Of Sentiment On Price Discovery
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Author : Jeffrey Coulton
language : en
Publisher:
Release Date : 2015
The Impact Of Sentiment On Price Discovery written by Jeffrey Coulton 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.
We study how investor sentiment a ects the speed with which prices reflect information. Price discovery is more timely for firms with greater sensitivity to sentiment, as measured by a sentiment beta. Our research improves our understanding of the price formation process when sentiment is not assumed to be constant. Our research design is novel as it considers a sentiment beta as well as economy-wide sentiment. This provides more comprehensive evidence on the impact of differing types of sentiment on the price formation process.
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.
Relationship Discovery Of Price Movements Between Sentiment Analysis On Social Media Data And Stock Market
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Author : Mohammed Moosa Naqvi
language : en
Publisher:
Release Date : 2019
Relationship Discovery Of Price Movements Between Sentiment Analysis On Social Media Data And Stock Market written by Mohammed Moosa Naqvi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
A desire to make a profit on investment has been a prominent motivational factor in financial investments. The idea of growing with a blue chip firm or an emerging start-up has allured both individual investor(s) and large investing firms alike. One of the financial market areas that gives such opportunity to become part of something bigger is the stock market. Across the globe, stock exchanges become the medium through which billions of stocks are traded on daily basis. Nevertheless, stock market volatility always challenges a seasoned investor to find new ways to invest into stocks that will be profitable in near future. These challenges are equally important for financial firms that are building algorithms for creating profitable stock portfolio. With the advent of social media and similar resonance in digital news media, we have witnessed huge data explosion and this has also opened new opportunities to harvest these data into information for profitable stock trading. In this research, I have performed analysis of more than 8.5 million news article and twitter messages to determine relationship between stock price and media sentiments. Using novel data visualization and Natural Language Processing techniques, I have implemented novel data visualizations such as frequency of news items and other related events affecting the company share price.
Behavioral Finance
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Author : Lucy F. Ackert
language : en
Publisher: South Western Educational Publishing
Release Date : 2010
Behavioral Finance written by Lucy F. Ackert and has been published by South Western Educational Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Investments categories.
The book begins by building upon the established, conventional principles of finance that you've have already learned in your principles course. The authors then move into psychological principles of behavioral finance, including heuristics and biases, overconfidence, emotion and social forces. You immediately see how human behavior influences the decisions of individual investors and professional finance practitioners, managers, and markets. You also gain a strong understanding of how social forces impact individuals' choices. The book clearly explains what behavioral finance indicates about observed market outcomes as well as how psychological biases potentially impact the behavior of managers. The book's solid academic approach provides opportunities for you to utilize theory and complete applications in every chapter as you learn the implications of behavioral finance on retirement, pensions, education, debiasing, and client management. The book spends a significant amount of time examining how today's practitioners can use behavioral finance to further their professional success.
The Influences Of The Market Sentiment On Tracking Performance Of The Leveraged And Inverse Etf
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Author : Chen-fu Lee
language : en
Publisher:
Release Date : 2020
The Influences Of The Market Sentiment On Tracking Performance Of The Leveraged And Inverse Etf written by Chen-fu Lee 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.
This study takes Taiwan's leveraged ETF and inverse ETF as object of study to track the difference of performance under different market sentiment compared with traditional ETF. In order to objectively define the state of market sentiment, the two-section threshold autoregressive (TAR) method is used to estimate panic index, and market sentiment is divided into two states, pessimistic and optimistic, to observe the difference in tracking performance under different market sentiment. In addition, considering the occurrence of Sino-US trade war and the structural changes and impacts of the global economy, the threshold values of the two periods before and after the trade war are estimated to capture the threshold effects that vary from time to time based on the starting date of the Sino-US trade war. In view of the structural changes and impacts of the Sino-US trade war on the global economy, this paper also tests the referential value of VIX as an indicator of market sentiment response and price discovery. Secondly, different from traditional ETF which directly holds the target commodities to copy profits and losses, leverage ETF and inverse ETF build leverage by investing in derivative commodities such as futures to track holdings in the spot market and futures market. The trading system, liquidity and investors' operational needs are different, which will affect the tracking ability of ETF. Therefore, this paper uses DCC-GARCH model to detect whether there is asymmetric relationship between various ETF and the tracking target market, and incorporates the mentioned threshold differences into the model, hoping to understand the changes in tracking performance by capturing the changes in dynamic correlation coefficients. In addition, this paper also discusses the differences of correlation coefficient and tracking error between ETF and its tracking target in different major economic events, which can be used as a reference for investors to avoid risks when they expect the market to fall. The empirical results show that the poor tracking performance of leveraged ETF and inverse ETF results in an asymmetric inverse relationship between trading volume and return, and the tracking error is taken as the reference basis for investors to buy and hold ETF, which may lead to investment decision errors. After the Sino-US trade war, due to changes in economic structure, the market volatility and expectation panic has increased, worsening the tracking performance of traditional ETF and leveraged ETF. The panic index has no threshold effect after the Sino-US trade war and cannot effectively reflect the emotional state of the market. Moreover, it has no price discovery ability under high fluctuation. After taking into consideration the event factors, this paper finds that the tracking performance of traditional ETF shows significant differences and the impact of financial events on tracking errors is significantly greater than monetary policy, economic structural changes and non-financial events.
Retail Investor Sentiment And Behavior
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Author : Matthias Burghardt
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-16
Retail Investor Sentiment And Behavior written by Matthias Burghardt and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-16 with Business & Economics categories.
Using a unique data set consisting of more than 36.5 million submitted retail investor orders over the course of five years, Matthias Burghardt constructs an innovative retail investor sentiment index. He shows that retail investors’ trading decisions are correlated, that retail investors are contrarians, and that a profitable trading strategy can be based on these aggregated sentiment measures.
Sentiment And Price Formation
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Author : Nektaria Karakatsani
language : en
Publisher:
Release Date : 2007
Sentiment And Price Formation written by Nektaria Karakatsani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
In this paper, two non-linear hypotheses are tested on the controversial time-series relationship between investor sentiment and market returns: i) an interaction, subject to abrupt regime shifts, and ii) a gradual sentiment effect, which alters the influences of other factors, such as the volatility premium, as a sentiment threshold is exceeded. Both hypotheses are supported by the data (vs. the corresponding linear alternatives) for the SP500 index and institutional (but not individual) sentiment over the period 1965-2003, and after controlling for various risk factors. A mutual influence, significant both in statistical and economic terms, exists between monthly returns and institutional sentiment, during a dominant market regime with occurrence probability 80%. Instead, individual sentiment exerts no significant effect on SP500 returns, although it responds positively to them. Institutional and individual investors are influenced by each others' sentiment, but they interpret these as opposite signals, contrarian and momentum respectively. Similarly, they perceive past volatility as a source of optimism/pessimism. Interestingly, aggregate idiosyncratic volatility, a proxy for total arbitrage cost, exerts a positive impact on both subsequent returns and institutional sentiment, indicating that institutions correctly predict higher returns as this cost increases (e.g. due to an anticipated correction of a mispricing) or possibly, that they partially contribute to this pattern via their own trading. A smooth-transition regression specification reveals that, in a similar way that sentiment alters, at the individual stock level, the effects of firm characteristics on returns (Baker and Wurgler, 2006), institutional sentiment alters, at the market level, the sign and magnitude of the volatility effect. This indicates a compensation for sentiment risk, as implied by De Long et al. (1990). Accounting for regime shifts seems critical for return prediction over month-ahead horizons.
Data Science For Economics And Finance
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Author : Sergio Consoli
language : en
Publisher: Springer Nature
Release Date : 2021
Data Science For Economics And Finance written by Sergio Consoli and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Application software categories.
This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.
Economic News Sentiment And Behavior
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Author : Juliane A. Lischka
language : en
Publisher: Springer
Release Date : 2015-11-04
Economic News Sentiment And Behavior written by Juliane A. Lischka and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-04 with Language Arts & Disciplines categories.
This book explores the relations between objective, media-related, and social attitudinal as well as behavioral realities of private, expert, and corporate agents in the traditions of mass communication, journalism studies and behavioral economics. Results based on time series analyses for German data show that the news reports in a volatile manner on the economy and may influence its development through third-person effects. Bad economic news does not cause a decrease in private purchase intentions. Bad news may lead to a change in corporate decisions, such as advertising expenditures, because corporate decision makers may presume changes in consumer behavior through news.
The Handbook Of News Analytics In Finance
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Author : Gautam Mitra
language : en
Publisher: John Wiley & Sons
Release Date : 2011-07-13
The Handbook Of News Analytics In Finance written by Gautam Mitra 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 2011-07-13 with Business & Economics categories.
The Handbook of News Analytics in Finance is a landmarkpublication bringing together the latest models and applications ofNews Analytics for asset pricing, portfolio construction, tradingand risk control. The content of the Hand Book is organised to provide arapid yet comprehensive understanding of this topic. Chapter 1 setsout an overview of News Analytics (NA) with an explanation of thetechnology and applications. The rest of the chapters are presentedin four parts. Part 1 contains an explanation of methods and modelswhich are used to measure and quantify news sentiment. In Part 2the relationship between news events and discovery of abnormalreturns (the elusive alpha) is discussed in detail by the leadingresearchers and industry experts. The material in this part alsocovers potential application of NA to trading and fund management.Part 3 covers the use of quantified news for the purpose ofmonitoring, early diagnostics and risk control. Part 4 is entirelyindustry focused; it contains insights of experts from leadingtechnology (content) vendors. It also contains a discussion oftechnologies and finally a compact directory of content vendor andfinancial analytics companies in the marketplace of NA. Thebook draws equally upon the expertise of academics andpractitioners who have developed these models and is supported bytwo major content vendors - RavenPack and Thomson Reuters - leadingproviders of news analytics software and machine readablenews. The book will appeal to decision makers in the banking, finance andinsurance services industry. In particular: asset managers;quantitative fund managers; hedge fund managers; algorithmictraders; proprietary (program) trading desks; sell-side firms;brokerage houses; risk managers and research departments willbenefit from the unique insights into this new and pertinent areaof financial modelling.