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Sentiment-Based Decision Making Model for Financial Markets

  • Marius Liutvinavicius
  • Virgilijus Sakalauskas
  • Dalia KriksciunieneEmail author
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Part of the Studies in Computational Intelligence book series (SCI, volume 869)

Abstract

The effect of sentiment information for evoking unexpected decisions of investors and incurring anomalies of financial market behaviour is an intensively explored object of research. The recent scientific research works include big variety of approaches for processing sentiment information and embedding it into investment models. The proposed model implies that the sentiment information is not only influential to investment decisions, but it has a varying impact for different financial securities and time frames. The algorithm and simulation tool are developed for including the composite indicator and designing adapted investment strategies. The results of simulations by applying different ratios of financial versus sentiment indicators and investment parameters enabled selecting efficient investment strategies, outperforming the S&P financial index approach.

Keywords

Behavioural finance Sentiment indicators Composite index 

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Copyright information

© Springer Nature Switzerland AG 2020

Authors and Affiliations

  • Marius Liutvinavicius
    • 1
  • Virgilijus Sakalauskas
    • 1
  • Dalia Kriksciuniene
    • 1
    Email author
  1. 1.Vilnius UniversityVilniusLithuania

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