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Home | Events Archive | Sentiment Networks and Financial Markets
Research Master Pre-Defense

Sentiment Networks and Financial Markets

  • Series
    Research Master Defense
  • Speaker
    Ali Moin
  • Location
    Langeveld 4.10
    Rotterdam
  • Date and time

    July 11, 2024
    10:30 - 12:00

We construct a high-dimensional set of news attention-weighted sentiment indices using a public dataset consisting of 300 million articles from 2015 to 2023. Our approach quantifies sentiment across countries and news themes, enabling the derivation of dynamic trading strategies. Our results for the US show a 7x cumulative return on investment compared to the market's 2x cumulative return. Additionally, as a news source, the US generates an annual alpha between 7% and 12% across five of the six markets analyzed, underscoring its influential role in the global financial network. We also find that non-linear models achieve better trading performance by leveraging complex relationships between news themes.