Big Data Financial Sentiment Analysis in the European Bond Markets

Luca Tiozzo Pezzoli, Sergio Consoli, Elisa Tosetti

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We exploit the novel Global Database of Events, Language and Tone (GDELT) to construct news-based financial sentiment measures capturing investor’s opinions for three European countries, Italy, Spain and France. We study whether deterioration in investor’s sentiment implies a rise in interest rates with respect to their German counterparts. Finally, we look at the link between agents’ sentiment and their portfolio exposure on the Italian, French and Spanish markets.
Original languageEnglish
Title of host publicationMining Data for Financial Applications
Pages122-126
Number of pages5
Volume11985
DOIs
Publication statusPublished - 2020
Externally publishedYes
EventMIDAS - Inglese
Duration: 16 Sept 201920 Sept 2019

Publication series

NameLECTURE NOTES IN COMPUTER SCIENCE

Workshop

WorkshopMIDAS
CityInglese
Period16/9/1920/9/19

Keywords

  • Financial sentiment
  • Government yield spread
  • Quantile regression
  • Random forest

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