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What can we Learn from Euro-Dollar Tweets? / Vahid Gholampour, Eric van Wincoop.
- Format:
- Book
- Author/Creator:
- Gholampour, Vahid.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23293.
- NBER working paper series no. w23293
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- 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.
- Notes:
- Print version record
- March 2017.
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