Know the Flow: Sentiment Extraction from Retail Order Flow Data

  • Matthias Burghardt
  • Ryan Riordan
Conference paper
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 23)


Retail investor sentiment has been a subject of interest in the finance literature for a number of years. Using the order flow based on a unique data set with 20.7 million transactions in bank-issued warrants from the European Warrant Exchange, we present the construction of a retail investor sentiment index. We show that retail investors are contrarian, that retail investor sentiment is an important part of the equity pricing process and that we have a good measure of the sentiment. We believe that this information can be used by exchanges to increase transparency in financial markets. As a whole our findings further support a role for retail investor sentiment in the equity pricing process.


retail investor exchange order flow sentiment information extraction market transparency option trading 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Matthias Burghardt
    • 1
  • Ryan Riordan
    • 1
  1. 1.Institute of Information Systems and Management (IISM)University of KarlsruheKarlsruheGermany

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