Econometrics Meets Sentiment: An Overview of Methodology and Applications

42 Pages Posted: 12 Jan 2016 Last revised: 11 Aug 2019

See all articles by Andres Algaba

Andres Algaba

Vrije Universiteit Brussel (VUB)

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

University of Neuchatel, Institute of Financial Analysis, Students; Vrije Universiteit Brussel (VUB)

Samuel Borms

University of Neuchâtel - Institute of Financial Analysis; Vrije Universiteit Brussel (VUB)

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Date Written: May 1, 2019

Abstract

The advent of massive amounts of textual, audio and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a composition of sentiment and econometrics. We provide an overview of the generic steps in a typical econometric analysis of sentiment from textual, audio and visual data. For each of those steps, we summarize the relevant methodological approaches, illustrate with empirical results, and discuss useful software.

Keywords: qualitative data, sentiment analysis, sentometrics, survey, textual analysis

JEL Classification: G11, C58

Suggested Citation

Algaba, Andres and Ardia, David and Bluteau, Keven and Borms, Samuel and Boudt, Kris, Econometrics Meets Sentiment: An Overview of Methodology and Applications (May 1, 2019). Available at SSRN: https://ssrn.com/abstract=2652876 or http://dx.doi.org/10.2139/ssrn.2652876

Andres Algaba

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.be
Brussels, 1050
Belgium

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Keven Bluteau

University of Neuchatel, Institute of Financial Analysis, Students ( email )

Pierre-a-Mazel,7
Neuchatel
Switzerland

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Samuel Borms (Contact Author)

University of Neuchâtel - Institute of Financial Analysis ( email )

1, A.-L. Breguet
Neuchâtel, CH-2000
Switzerland

Vrije Universiteit Brussel (VUB) ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

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