Big Data Financial Sentiment Analysis in the European Bond Markets

被引：0

作者：

Pezzoli, Luca Tiozzo ^{[1
]}

Consoli, Sergio ^{[1
]}

Tosetti, Elisa ^{[1
]}

机构：

[1] JRC European Commiss, Ispra, Italy

来源：

MINING DATA FOR FINANCIAL APPLICATIONS | 2020年 / 11985卷

关键词：

Government yield spread; Financial sentiment; Random forest; Quantile regression; LIQUIDITY;

D O I：

10.1007/978-3-030-37720-5_10

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

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.

引用

页码：122 / 126

页数：5

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