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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.

Détails

Type de ressource
Dataset
Série
Reproducibility Package
Ensemble de données pour la reproductibilité des résultats de recherche
DOI
https://doi.org/10.34989/0krh-k257
Autres identifiants
URL: https://github.com/TommasoDF/Repo
Titre
Replication Code for the paper "Sentiment-Driven Speculation in Financial Markets with Heterogeneous Beliefs: a Machine Learning approach"
Créateur
Di Francesco, Tommaso (University of Amsterdam)
Hommes, Cars (Bank of Canada)
Editeur
Bank of Canada
Date de publication
2025
Langue
Anglais
Note
For inquiries about this resource, please reach out via the Bank of Canada General Inquiries form
Déclaration de disponibilité
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.
Droits
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)
Référence de la publication
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.
Le document apparaît dans
Recherches de la Banque du Canada > Ensembles de données pour la reproductibilité des résultats de recherche

Éléments liés

Type de lien
Record Is Supplement To
Note de relation
Reproducibility package is associated with peer-reviewed article
Elément lié
Article scientifique
Titre
Sentiment-driven speculation in financial markets with heterogeneous beliefs: A machine learning approach
Identifiant
https://doi.org/10.1016/j.jedc.2025.105092
Date de publication
2025
Volume
175
Numéro
105092
Éditeur
Journal of Economic Dynamics and Control (Elsevier)
Type de lien
Record Is Supplemented By
Note de relation
Dataset accompanying reproducibility package is available via Figshare
Elément lié
Jeu de données
Titre
BiTSI
Identifiant
https://doi.org/10.21942/uva.25428238.v1
Éditeur
GitHub

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