Country News Sentiment Factors Predict Forex Prices
35 Pages Posted: 26 May 2013
Date Written: April 3, 2013
Abstract
In this study, we test a set of country macro sentiment indexes that measure the trailing sentiment on both scheduled and unscheduled economic and geopolitical news events. We develop a cross-over strategy in the FX market based on short to long-term news sentiment inflection points covering the seven major currency pairs. The sentiment indexes are proven to predict short-term price movements in the major currency pairs for up to several hours after an inflection point.
Keywords: news analytics, macro, news, Forex, RavenPack, Country sentiment, sentiment index, sentiment factor
JEL Classification: F31, G10, G12, G14, G15
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