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DEEP Advanced Seminar in Economics

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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

demain Missing Growth from Creative Destruction
Philippe Aghion (College de France & LSE)
Host(s): Pascal St-Amour
17:15 - 18:30, salle Internef 275

click here [↓] to go to the attached pdf

Plus d'information
demain Missing Growth from Creative Destruction
Philippe Aghion (College de France & LSE)
Host(s): Pascal St-Amour
17:15 - 18:30, salle Internef 275

click here [↓] to go to the attached pdf

Plus d'information
10 mai 2017 Sandro Shelegia (Universitat Pompeu Fabra)
Host(s): Joao Montez
11:00-12:30, salle Extranef 125

click here [↓] to go to the attached pdf
11 mai 2017 DEEP-EPFL Advanced Seminar
Linda Tesar (University of Michigan)
Host(s): Luisa Lambertini (EPFL)
11:00-12:30, salle Internef 275

click here [↓] to go to the attached pdf
18 mai 2017 Jordi Masso (Universitat Autonoma de Barcelona)
Host(s): Bettina Klaus
11:00-12:30, salle Extranef 109

click here [↓] to go to the attached pdf
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