Research Master Pre-Defense
Sentiment Networks and Financial Markets
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SeriesResearch Master Defense
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SpeakerAli Moin
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LocationLangeveld 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.