Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach
研究异质信念下两类投机（基本面投机与理性投机）对市场波动的影响，利用机器学习方法构建比特币推特情绪指数并估计模型，发现基本面投机放大波动而理性投机稳定市场。
We study an heterogenous asset pricing model in which different classes of investors coexist and evolve, switching among strategies over time according to a fitness measure. In the presence of boundedly rational agents, with biased forecasts and trend following rules, we study the effect of two types of speculation: one based on fundamentalist and the other on rational expectations. While the first is only based on knowledge of the asset underlying dynamics, the second takes also into account the behavior of other investors. We bring the model to data by estimating it on the Bitcoin Market with two contributions, relying on methods from Machine Learning. First, we construct the Bitcoin Twitter Sentiment Index (BiTSI) to proxy a time varying bias. Second, we propose a new method based on a Neural Network , for the estimation of the resulting heterogeneous agent model with rational speculators. We show that the switching finds support in the data and that while fundamentalist speculation amplifies volatility, rational speculation has a stabilizing effect on the market.