|
The profitability of algorithmic trading systems based on football sentiment
Raúl Gómez-Martínez, Camila Marqués-Bogliani, Jessica Paule-Vianez
International Sports Studies 42 No. 1 (2020)
https://doi.org/10.30819/iss.42-1.04 pp: 33-46 2020-06-22
|
Stichworte/keywords: sports sentiment, European football clubs, behavioural finance, algorithmic trading, investors’ mood
Cite: APA BibTeX
Gómez-Martínez, R., & Marqués-Bogliani, C., & Paule-Vianez, J. (2020). The profitability of algorithmic trading systems based on football sentiment. International Sports Studies, 42 (1), 33-46. doi:10.30819/iss.42-1.04
@article{Gómez-Martínez_2020,
doi = {10.30819/iss.42-1.04},
url = {https://doi.org/10.30819/iss.42-1.04},
year = 2020,
publisher = {Logos Verlag Berlin},
volume = {42},
number = {1},
pages = {33-46},
author = {Raúl Gómez-Martínez, Camila Marqués-Bogliani, Jessica Paule-Vianez},
title = {The profitability of algorithmic trading systems based on football sentiment},
journal = {International Sports Studies}
}
Abstract
Behavioural finance has shown that investment decisions are the result of not just
rational but also emotional brain processes. On the assumption that emotions affect
financial markets, it would seem likely that football results might have a measurable
effect on financial markets. To test this, this study describes three algorithmic trading
systems based exclusively on the results of three top European football teams (Juventus,
Bayern München and Paris St Germain) opening long or short positions in the next
market season of the futures market of the index of each country (MIB (Milano Italia
Borsa), DAX (Deutscher Aktien Index) and CAC (Cotation Assistée en Continu).
Depending on the outcome of the last game played a long position was taken after a
victory and a short position after a draw or defeat. The results showed that the
algorithmic systems were profitable in the case of Juventus and Bayern whereas in the
case of PSG, the system was profitable, but in an inverse way. This study shows that
investment strategies that take account of sports sentiment could have a profitable
outcome.
Kaufoptionen
(D) = innerhalb Deutschlands
(W) = außerhalb Deutschlands
*Sie können das eJournal/ePaper (PDF) entweder einzeln herunterladen oder in Kombination mit dem gedruckten Buch (eBundle) erwerben. Der Erwerb beider Optionen wird über PayPal abgerechnet - zur Nutzung muss aber kein PayPal-Account angelegt werden. Mit dem Erwerb des eJournals/ePapers bzw. eBundles akzeptieren Sie unsere Lizenzbedingungen für eBooks.
Bei Interesse an Multiuser- oder Campus-Lizenzen (MyLibrary) füllen Sie bitte das Formular aus oder schreiben Sie eine email an order@logos-verlag.de