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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.

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Eric van Wincoop (University of Virginia)
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11:00-12:30, salle Extranef 109

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