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Replication Code for the paper "Sentiment-Driven Speculation in Financial Markets with Heterogeneous Beliefs: a Machine Learning approach"

Di Francesco, Tommaso; Hommes, Cars
2025
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Description

Abstract: The repository is divided in two main folders: Models and Estimation. The modeling part is in Julia and can be used to replicate the figures that pertain to the theoretical model. The estimation part is in Python and can replicate figures and tables relative to the estimation part.

Data and code for peer-reviewed article published in Journal of Economic Dynamics. Paper published online March 27, 2025. When citing this dataset, please also cite the associated article. A sample Publication Citation is provided below.

Details

Resource Type
Dataset
Series (Uniform Title)
Reproducibility Package
Ensemble de données pour la reproductibilité des résultats de recherche
DOI
https://doi.org/10.34989/0krh-k257
Other Identifiers
URL: https://github.com/TommasoDF/Repo
Title
Replication Code for the paper "Sentiment-Driven Speculation in Financial Markets with Heterogeneous Beliefs: a Machine Learning approach"
Creator
Di Francesco, Tommaso (University of Amsterdam)
Hommes, Cars (Bank of Canada)
Publisher
Bank of Canada
Date
2025
Language
English
Note
For inquiries about this resource, please reach out via the Bank of Canada General Inquiries form
Availability Statement
Software and code files distributed under BSD 3-Clause Revised license; remainder of files in package distributed under Creative Commons Attribution 4.0 license. Files available for download from this page and the GitHub link above.
Rights
Creative Commons Attribution 4.0 International, CC-BY-4.0, (https://creativecommons.org/licenses/by/4.0/legalcode)
BSD 3-Clause "New" or "Revised" License, BSD-3-Clause, (https://opensource.org/licenses/BSD-3-Clause)
Publication Citation
Di Francesco, T. and C. Hommes. 2025. "Sentiment-Driven Speculation in Financial Markets With Heterogeneous Beliefs: A Machine Learning Approach." Journal of Economic Dynamics and Control 175 No. 105092. https://doi.org/10.1016/j.jedc.2025.105092.
Record Appears in
Bank of Canada Research > Research Reproducibility Packages

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