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Análisis de sentimientos de noticias e inversionistas en el mercado bursátil

Author

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  • Germán Eduardo González

Abstract

Este trabajo estudia en la relación estadística entre el sentimiento de inversionistas y de noticias con la dirección del movimiento del S&P 500 en ventanas de 30 minutos. Específicamente, se utilizan algoritmos de Machine Learning para estimar una medida representativa del sentimiento de los inversionistas y de noticias a partir de mensajes de usuarios de StockTwits, que luego se utilizaron de manera conjunta e individual para pronosticar la dirección del SP 500. Se encontró que con la inclusión del sentimiento de los inversionistas se alcanzó una exactitud del 58%, por encima del 50% obtenido por un modelo autorregresivo. No obstante, se determinó que la integración del análisis de sentimiento de noticias no aumentó la predictibilidad del índice en cuestión.

Suggested Citation

  • Germán Eduardo González, 2019. "Análisis de sentimientos de noticias e inversionistas en el mercado bursátil," Documentos CEDE 17375, Universidad de los Andes, Facultad de Economía, CEDE.
    • Handle: RePEc:col:000089:017375
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    File URL: https://repositorio.uniandes.edu.co/bitstream/handle/1992/41093/dcede2019-29.pdf
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    More about this item

    Keywords

    Predicción de la dirección de los retornos intradía; S&P 500; análisis desentimiento de los inversionistas; y análisis de sentimiento de noticias.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Y - Miscellaneous Categories
    • G41 - Financial Economics - - Behavioral Finance - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets

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