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What Can we Learn from Euro-Dollar Tweets?

Eric van Wincoop (University of Virginia)

9 mars 2017  -  11:00-12:30, salle Extranef 109

Host(s): Philippe Bacchetta

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.

Liste des prochaines séances

26 octobre 2017 A Quantitative Analysis of Subsidy Competition in the U.S.
Ralph Ossa (University of Zurich)
Host(s): Frédéric Robert-Nicoud
11:00-12:30, salle Extranef 125

click here [↓] to go to the attached pdf

Plus d'information
2 novembre 2017 Signaling to Experts
Florian Scheuer (University of Zurich)
Host(s): Marius Brülhart
11:00-12:30, salle Extranef 110

click here [↓] to go to the attached pdf

Plus d'information
8 novembre 2017 Patrick Rey (Toulouse School of Economics)
Host(s): Joao Montez
11:00-12:30, salle Extranef 125

click here [↓] to go to the attached pdf
23 novembre 2017 Mirko Wiederholt (Goethe Universität)
Host(s): Andreas Tischbirek
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
12 décembre 2017 Piero Gottardi (EUI, Florence)
Host(s): Luis Santos Pinto
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
21 février 2018 Jean-Robert Tyran (University of Vienna)
Host(s): Adrian Bruhin
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
1er mars 2018 Andrea Ichino (EUI Florence)
Host(s): Elena Esposito
11:00-12:30

click here [↓] to go to the attached pdf
8 mars 2018 Nicola Gennaioli (Bocconi University)
Host(s): Dominic Rohner
11:00-12:30, salle Extranef 125

click here [↓] to go to the attached pdf
21 mars 2018 Yves Sprumont (Université de Montréal)
Host(s): Bettina Klaus
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
19 avril 2018 Nicole Maestas (Harvard University)
Host(s): Jürgen Maurer
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
31 mai 2018 Monika Piazzesi (Stanford University)
Host(s): Jean-Paul Renne
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
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