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Analysis of institutional authors

Martinez, RgCorresponding AuthorRoman, MpAuthorCasado, PpAuthor

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Big Data Algorithmic Trading Systems Based on Investors' Mood

Publicated to:Journal Of Behavioral Finance. 20 (2): 227-238 - 2019-04-03 20(2), DOI: 10.1080/15427560.2018.1506786

Authors: Gomez Martinez, Raul; Prado Roman, Miguel; Plaza Casado, Paola

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Abstract

Traditional automated trading systems use rules and filters based on Chartism to send orders to the market, aiming to beat the market and obtain positive returns in bullish or bearish contexts. However, these systems do not consider the investors' mood that many studies have demonstrated its effects over the evolution of financial markets. The authors describe 2 big data algorithmic trading systems over Ibex 35 future. These systems send orders to the market to open long or short positions, based on an artificial intelligence model that uses investors' mood. To measure the investors' mood, the authors use semantic analysis algorithms that qualify as good, bad, or neutral any communication related to Ibex 35 made on social media (Twitter) or news media. After 1.5 years of research, conclusions are: First, the authors observe positive returns, demonstrating that investors' mood has predictive capacity on the evolution of the Ibex 35. Second, these systems have beaten the Ibex 35 index, showing the imperfect efficiency of the financial markets. Third, big data algorithmic trading systems numbers are better in Sharpe ratio, success rate, and profit factor than traditional trading systems on the Ibex 35, listed in the Trading Motion platform.

Keywords

Algorithmic trading systemsArtificial intelligenceBehavioral financeBig dataConfidenceInvestors' moodInvestors’ moodNewsPerformanceReturnsSports sentimentStock-market

Quality index

Bibliometric impact. Analysis of the contribution and dissemination channel

The work has been published in the journal Journal Of Behavioral Finance, and although the journal is classified in the quartile Q3 (Agencia WoS (JCR)), its regional focus and specialization in Economics, give it significant recognition in a specific niche of scientific knowledge at an international level.

From a relative perspective, and based on the normalized impact indicator calculated from the Field Citation Ratio (FCR) of the Dimensions source, it yields a value of: 5.69, which indicates that, compared to works in the same discipline and in the same year of publication, it ranks as a work cited above average. (source consulted: Dimensions Jun 2025)

Specifically, and according to different indexing agencies, this work has accumulated citations as of 2025-06-06, the following number of citations:

  • WoS: 9
  • Scopus: 16
  • OpenCitations: 12

Impact and social visibility

From the perspective of influence or social adoption, and based on metrics associated with mentions and interactions provided by agencies specializing in calculating the so-called "Alternative or Social Metrics," we can highlight as of 2025-06-06:

  • The use, from an academic perspective evidenced by the Altmetric agency indicator referring to aggregations made by the personal bibliographic manager Mendeley, gives us a total of: 113.
  • The use of this contribution in bookmarks, code forks, additions to favorite lists for recurrent reading, as well as general views, indicates that someone is using the publication as a basis for their current work. This may be a notable indicator of future more formal and academic citations. This claim is supported by the result of the "Capture" indicator, which yields a total of: 113 (PlumX).

With a more dissemination-oriented intent and targeting more general audiences, we can observe other more global scores such as:

  • The Total Score from Altmetric: 5.05.
  • The number of mentions on the social network X (formerly Twitter): 6 (Altmetric).

Leadership analysis of institutional authors

There is a significant leadership presence as some of the institution’s authors appear as the first or last signer, detailed as follows: First Author (Gómez Martínez, Raúl) and Last Author (Plaza Casado, Paola).

the author responsible for correspondence tasks has been Gómez Martínez, Raúl.