Faculty Advisor

Koutmos, Dimitrios

Abstract

The goal for this Major Qualifying Project was to research, examine, create, and modify existing algorithmic trading strategies in order to account for investor sentiment. We were able to quantify investor sentiment through the use of publicly available pageview data from prominent Internet organizations. With this data, we tested several strategies, some of which were market-blind in the sense that they traded only on the basis of sentiment indicators. While we do not refute that sentiment indicators are likely (in some respect) driven by market indicators such as asset pricing and volatility, finding a successful strategy that trades solely on the basis of sentiment indicators is a challenge.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2016

Major

Management Engineering

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Business

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