Big Data Financial Sentiment Analysis in the European Bond Markets

Luca Tiozzo Pezzoli, Elisa Tosetti, Sergio Consoli

Risultato della ricerca: Contributo in libroContributo a convegno

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.
Lingua originaleEnglish
Titolo della pubblicazione ospiteMining Data for Financial Applications
Pagine122-126
Numero di pagine5
Volume11985
DOI
Stato di pubblicazionePubblicato - 2020
Pubblicato esternamenteYes
EventoMIDAS - Inglese
Durata: 16 set 201920 set 2019

Serie di pubblicazioni

NomeLECTURE NOTES IN COMPUTER SCIENCE

Workshop

WorkshopMIDAS
CittàInglese
Periodo16/9/1920/9/19

Keywords

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

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