Avis d'expert | Analysis of the Relevance of Sentiment Data for the Prediction of ERs in a Multi-Asset Framework
Juillet 2024 | In this study, we look at the relevance of sentiment data for the prediction of excess returns in a multi-asset analysis. We start by initial exploratory data analysis in order to assess the pertinence of the sentiment data.
P. Desforges, C. Geissler and F. Liu. Journal of Forecasting, 15 February 2023.
We then compare the performance of rule-based algorithms with and without the sentiment data. The data considered is provided by Ravenpack. Finally, we explore the economic relevance of the forecast model in a long-only and long-short context. Inclusion of sentiment data leads to encouraging results.
Plus d'infos ?