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  • More than Words: Twitter Chatter and Financial Market Sentiment

    Travis Adams, Andrea Ajello, Diego Silva, Francisco Vazquez-Grande

    Research conducted using AI/ML tools

    We build a new measure of credit and financial market sentiment using Natural Language Processing on Twitter data. We find that the Twitter Financial Sentiment Index (TFSI) correlates highly with corporate bond spreads and other price- and survey-based measures of financial conditions. We document that overnight Twitter financial sentiment helps predict next day stock market […]