White Paper: MarketPsych - Sentiment Data in the Foreign Exchange Markets


Financial markets are not entirely efficient in pricing all available information; they are known to show systematic and repeating patterns that are apparently irrational – or “non-optimal” in academic parlance. Behavioral economics studies have linked investor mood to this non-optimal behavior. For example, recent academic research into patterns in the FOREX market has suggested that sentiment plays a role.



Financial markets are not entirely efficient in pricing all available information; they are known to show systematic and repeating patterns that are apparently irrational – or “non-optimal” in academic parlance.

Behavioral economics studies have linked investor mood to this non-optimal behavior. For example, recent academic research into patterns in the FOREX market has suggested that sentiment plays a role.

We attempted to explain one of these patterns using Thomson Reuters MarketPsych Indices (TRMI). These multidimensional sentiment indices, exclusively published by Thomson Reuters, offer a proxy for the mood of investors and their perceptions of macroeconomic events in the Financial Markets.

It is important to determine which signals are consistently predictive, and to quantify what they offer; used properly, they can predict rates movement accurately enough to generate superior returns at lower risk. In this whitepaper we will examine 5 strategies using the Thomson Reuters MarketPsych Indices.

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