Сегодня он успешно совмещает карьеру ученого, преподавателя, финансового консультанта и управляет инвестициями друзей и знакомых на фондовой бирже, используя технологию мониторинга новых медиа, собирающую и анализирующую настроения тысяч мелких и крупных экономических агентов. 27 ноября он рассказал об этом в центре Digital October. http://digitaloctober.ru/ru/events/knowledge_stream_finansovyy_geniy

1. BEHAVIORAL
INVESTING
DEMYSTIFYING THE PSYCHOLOGICAL
DRIVERS OF GLOBAL MARKETS
Digital October
Knowledge Exchange
Moscow
November 27, 2013
Richard L. Peterson
MarketPsych, LLC

2. WHAT FACTORS PREDICTABLY DRIVE
MARKET PRICES?

3. PRIMARILY ECONOMIC FUNDAMENTALS?

4. PRIMARILY PRICE PATTERNS?

5. PRIMARILY INVESTOR PSYCHOLOGY?

6. COMPLEX INTERACTION?
INFORMATION
BEHAVIOR
BRAIN

7. ABOUT
MARKETPSYCH
MARKETPSYCH HAS DEVELOPED
APPLIED BEHAVIORAL FINANCE TOOLS
SINCE 2001.
Research group includes experts in quant finance,
natural language processing, affective
neuroscience, psychometrics, cloud computing
and behavioral economics.
Published research in academic journals,
textbooks, and two award-winning books.
Frequent appearances in financial media
including BBC, WSJ, FT and Bloomberg.

8. BEHAVIORAL
/FINANCE
Behavioral Economics
Market Sentiment
Individual investors
make predictable
decisions when
experiencing Stress,
Uncertainty, Optimism,
Trust, Fear, and other
states.
Sentiment has long been
anecdotally associated with
asset price fluctuations
driven by crowds.
Thomson Reuters
MarketPsych Indices
“All through time, people have
basically acted and reacted the
same way in the market as a
result of: greed, fear, ignorance,
and hope. That is why the
numerical formations and
patterns recur on a constant
basis.”
~ Jesse Livermore, How To Trade
In Stocks, 1927
MarketPsych partnered
with Thomson Reuters
to produce the most
comprehensive
quantitative data
source for testing the
predictive power of
market sentiment.

9. YOUR MARKET
BRAIN

10. EMOTIONAL
/PRIMING
EXPERIMENT (Winkielman et al, 2007)
 People shown fearful or angry faces took less risk
in an investment task, earning less money.
 Happy face increased risk-taking 30% versus
negative expressions.
 Afterwards subjects denied that the faces had
affected their judgment.
 How does emotional priming affect investors’
decision making?

11. EMOTION
/OVERVIEW
 The brain’s structure may
explain some individual
economic behaviors.
 Frontal Cortex
 Executive function
 Judgment
“X-ray” view through the brain
 Subcortex: Limbic system
 Emotions
 Drives
 Desires

12. EMOTION
/REWARD SYSTEM




Excited motivation
Confidence
Desire
Dopamine
Knutson and Kuhnen, 2005

13. EMOTION
/LOSS AVOIDANCE




Threat perception
Memories of loss
Serotonin
Fear

14. EMOTION
/LOSS AVOIDANCE

15. YOUR MARKET
PERSONALITY

16. BRAIN
/PERSONALITY
• Investor’s Personality Test free online since
2004 at tests.marketpsych.com.
• 4,000+ respondents (20,000+ over all tests)
from 89 countries.
• Measuring the “Big Five” personality traits.
• Collect largest drawdown, returns,
experience, and demographic information.
• The common reported mistakes are the
same worldwide.

17. WHICH PERSONALITY TRAITS ARE KEY TO
INVESTING SUCCESSFULLY?
Emotionality
Emotional Stability
Extraversion
Introversion
Openness
Traditionalism
Agreeableness
Self-Interest
Conscientiousness
Spontaneity

18. MANAGING YOUR
MARKET
REACTIONS

19. “If you want a positive outlook, you’re going to
have to turn your chair around, Walter.”
19

20. TOOL
/GO TO G-R-O-U-N-D
Step 1: Managing Emotion
Ground in the present
Reappraise the situation
Observe your thoughts
Understand the emotion
-----------------------Step 2: Thought and Action
Noodle on it: Analyze
Do Something: Take Action

21. GET GROUNDED:
BE PRESENT IN YOUR CURRENT EXPERIENCE

22. REAPPRAISE THE SITUATION:
HOW TRULY SIGNIFICANT IN TERMS OF TIME, URGENCY, AND IMPACT?
IS THIS AN EXPECTED PART OF YOUR JOB AS A RISK TAKER? (PROBABLY YES)

23. OBSERVE YOUR THOUGHTS:
OBSERVING WITH CURIOSITY, WITHOUT JUDGMENT, LET GO OF SELF
JUDGMENTS AND CRITICISMS.
UNDERSTAND WHAT USUALLY HAPPENS WHEN YOU FEEL LIKE THIS.

24. NOODLE ON IT:
RE-ENGAGE ANALYTICAL THOUGHT

25. DO SOMETHING:
MOVE FROM REASON TO ACTION

26. UNGROUNDED
The Cardinal Sin:
Attempting STEP 2 (action) before
addressing STEP 1 (managing emotion).

27. STEP 1: MARKETPSYCH PEARLS
 You can’t reason yourself out of a
position you didn’t reason yourself into.
 All emotions linger until they are
actively grounded (good) or discharged
(bad).
 To (re)build discipline, take baby steps:
commit and deliver.

28. INFORMATION,
CROWD EMOTION,
AND PRICE
BEHAVIOR

29. THOMSON REUTERS
MARKETPSYCH
INDICES (TRMI)
A summary of MarketPsych text analytics.
• Complex statistical
language processing.
• 3,000 topics and
sentiments scored.
A selection of TRMI sentiments and macroeconomic indexes.
• 40,000 specific
companies, currencies,
commodities, and
countries tracked.
• 2 million articles daily
• 1998 to the present.
• Social media and news
media data feeds.
Covering 35 commodities, 120 countries, 4000 equities, and 30 currencies.

30. WHAT IS THE ANGRIEST MONTH FOR INVESTORS?
September

31. WHAT IS THE MOST OPTIMISTIC MONTH?
December

32. MARKETS
/PSYCHOLOGICAL CYCLES

33. MARKETS
Egypt country data derived from textual analysis of global social media.

34. INVESTORS
USING
SENTIMENT
1.
2.
3.
4.
Timing Turning Points
Relative Value Screens
Identify Price Drivers
Gauge The Consensus
Before Events
5. Forecast Economic
Activity

35. TIMING TURNING POINTS
MOVING AVERAGES
“We look to buy from
pessimists and sell to
optimists.”
~ Benjamin Graham

36. RELATIVE VALUE
U.S. ETF’S
Sector and industry
sentiments such as Anger
and PriceForecast (inverse)
correlate with future weekly
ETF returns.
Below are equity curves
derived from going long the
top four and shorting the
bottom four of sector and
industry ETFs weekly.

37. MARKETS
/COUNTRIES
Question: What sentiment and macroeconomic factors drive international
equity returns?
SENTIMENT
OPTIMISM
FEAR
JOY
TRUST
VIOLENCE
URGENCY
UNCERTAINTY
MARKET RISK
BUDGET DEFICIT
CREDIT DEFAULTS
ECONOMIC GROWTH
ELECTION SENTIMENT
INFLATION
GOVERNMENT INSTABILITY
AND 19 MORE...
Government Instability, 2012

38. RELATIVE
VALUE
GLOBAL
EQUITIES
Country sentiments such as
Joy and Government
Instability inversely
correlate with future
country stock index returns.
White paper available.
“Buy to the sound of
cannons, sell to the sound
of trumpets”
~ Baron Nathan
Rothschild, 1812
Government
Instability, 2012
See the Equity curves of simulated strategies below. Using a rolling
window of the 20 countries most frequently mentioned in the news:
• These strategies go short the top 20% of countries high in Joy
(MP_JOY) and go long the 20% low in Joy.
• For GovernmentInstability (MP_GVTINST), they go long the most
unstable 20% of countries and short the most stable 20%.

39. MARKETS
/EXTREMES
Question: How can we test
the robustness of a rotational
strategy?
SENSITIVITY ANALYSIS
Returns are robust and
increasing with rank.

40. GLOBAL INVESTING
/EQUITY CURVE
MONTHLY ROTATIONAL
MODEL
Long on Government
Instability, Low Joy, and Loose
Fiscal Policy among others.

41. MARKETS
/IDEAS
Question: What is the forecast
of the final rotational one-year
model in November 2013?
ONE YEAR MODEL
Long on Government Instability,
Disasters, and Low Joy.
1-YEAR LONGS: Russia and Indonesia
1-YEAR SHORTS: Australia and Japan

42. ECONOMIC
FORECASTING
PREDICTING
PMI
Econometric models fit to country
PMI values since 2008. Updated
daily using the latest news about a
country’s economic activity and
sentiment. Models predict Flash
PMI releases.

43. SUMMARY
/YOUR INVESTING BRAIN
1.
2.
3.
4.
5.
Investors can’t reason themselves out of an
investment they didn’t reason themselves
into.
G-R-O-U-N-D yourself when feeling
emotional to reduce decision mistakes.
In addition to fundamentals and technicals,
consider market emotion.
Social media and news content exacerbate
emotion-based biases.
Saavy funds trade against high investor
emotion and consensus in news and social
media flow.

44. SUMMARY
Check out our sentiment
tools, sign up for our free
newsletter, and take a
free Investor Personality
Test at:
www.marketpsych.com
Sentiment Data Has
Predictive Value
Sentiment Indicators
Relative Value Screens
Price Drivers
Anticipated Events
Economic Forecasting