We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent's choices. In this note, we discuss the main idea behind the proposed approach.
Measuring the impact of behavioural choices on the market prices
Caporin M.;
2014
Abstract
We present a methodology to build a new sentiment index of market (ir)rationality. The proposed index, derived only on the basis of equity market prices, could be used to monitor the impact on behavioural-driven agent's choices. In this note, we discuss the main idea behind the proposed approach.
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