ISE Sentiment Indicator?

Joined
12/1/13
Messages
2
Points
11
Hey Guys,

I've been following this board for a couple of years now and decided I'd make my first post. I was looking at a HFT conference website and came across this abstract which I will post below. I've looked into ISE sentiment index and it turns out its a pretty good contrarian indicator. On their website it states that I can recieve daily updates of the individual tickers and their ise value. I have a couple questions:

1) Has anyone else looked into this, I've googled it and it appears that a couple papers have been written on it but nothing substantial.

2) Would anyone be willing to calaborate on some sort of trading strategy for an academic paper?

I have a strong background in Machine Learning so that can be an area we can explore, besides some mainstream methods. Let me know.

Abstract Below:

Numerous indicators, both conformist and contrarian in nature, are used by investors to gauge market sentiment. This paper investigates the predictive capability of the ISE Sentiment Index, which is a particular call-put ratio, for various structural break periods between March 2005 and December 2012. This study suggests that short positions of a specific market participant improve the overall performance of a given portfolio.
 
Back
Top Bottom