国家新闻情绪因素预测外汇价格

ERN: Forecasting & Simulation (Prices) (Topic) Pub Date : 2013-04-03 DOI:10.2139/ssrn.2269716

Peter Hafez, Junqiang Xie

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引用次数: 1

摘要

在这项研究中，我们测试了一组国家宏观情绪指数，这些指数衡量了对预定和非预定经济和地缘政治新闻事件的跟踪情绪。我们在外汇市场开发了一种交叉策略，该策略基于涵盖七大货币对的短期和长期新闻情绪拐点。事实证明，情绪指数可以预测主要货币对在出现拐点后几个小时内的短期价格走势。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Country News Sentiment Factors Predict Forex Prices

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.

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ERN: Forecasting & Simulation (Prices) (Topic)

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