| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23293 |
| 来源ID | Working Paper 23293 |
| What can we Learn from Euro-Dollar Tweets? | |
| Vahid Gholampour; Eric van Wincoop | |
| 发表日期 | 2017-04-03 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | We use 633 days of tweets about the Euro/dollar exchange rate to determine their information content and the profitability of trading based on Twitter Sentiment. We develop a detailed lexicon used by FX traders to translate verbal tweets into positive, negative and neutral opinions. The methodologically novel aspect of our approach is the use of a model with heterogeneous private information to interpret the data from FX tweets. After estimating model parameters, we compute the Sharpe ratio from a trading strategy based on Twitter Sentiment. The Sharpe ratio outperforms that based on the well-known carry trade and is precisely estimated. |
| 主题 | International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23293 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580967 |
| 推荐引用方式 GB/T 7714 | Vahid Gholampour,Eric van Wincoop. What can we Learn from Euro-Dollar Tweets?. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23293.pdf（430KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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