We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent's choices. In this note, we discuss the main idea behind the proposed approach.
Caporin, M., Corazzini, L., Costola, M. (2014). Measuring the impact of behavioural choices on the market prices. In C. Perna, M. Sibillo (a cura di), Mathematical and Statistical Methods for Actuarial Sciences and Finance (pp. 53-56). Cham : Springer International Publishing [10.1007/978-3-319-05014-0_12].
Measuring the impact of behavioural choices on the market prices
Corazzini, L;
2014
Abstract
We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent's choices. In this note, we discuss the main idea behind the proposed approach.
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