Yang, Steve Y., Liu, Anqi  ORCID: https://orcid.org/0000-0002-9224-084X, Chen, Jing ORCID: https://orcid.org/0000-0001-7135-2116 and Hawkes, Alan G.
2018.
Applications of multi-variate Hawkes process to joint modelling of sentiment and market return events.
Quantitative Finance
18
(2)
, pp. 295-310.
10.1080/14697688.2017.1403156
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Abstract
To investigate the complex interactions between market events and investor sentiment, we employ a multivariate Hawkes process to evaluate dynamic effects among four types of distinct events: positive returns, negative returns, positive sentiment and negative sentiment. Using both intraday S&P 500 return data and Thomson Reuters News sentiment data from 2008 to 2014, we find: a) self-excitation is strong for all four types of events at 15 minutes time scale; b) there is a significant mutual-excitation between positive returns and positive sentiment, and negative returns and negative sentiment; c) decay of return events is almost twice as fast as sentiment events, which means market prices move faster than investor sentiment changes; d) positive sentiment shocks tend to generate negative price jumps; and e) the cross- excitation between positive and negative sentiments is stronger than their self-excitation. These findings provide further understanding of investor sentiment and its intricate interactions with market returns.
| Item Type: | Article |
|---|---|
| Date Type: | Publication |
| Status: | Published |
| Schools: | Schools > Mathematics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Additional Information: | Special Issue on ‘Hawkes Processes in Finance’ |
| Publisher: | Taylor & Francis (Routledge) |
| ISSN: | 1469-7688 |
| Date of First Compliant Deposit: | 14 December 2017 |
| Date of Acceptance: | 1 November 2017 |
| Last Modified: | 27 Nov 2024 17:00 |
| URI: | https://orca.cardiff.ac.uk/id/eprint/107353 |
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