US EWS Index

This dataset includes various S&P 500 EWS versions from original, and business news sources. It also contains metrics on the tone of US market news.

Example code

from finter.data import ContentFactory
cf = ContentFactory("us_stock", 20240101, 20240201)

# weekly
df = cf.get_df("SP500_EWS_origin_biz_news", freq="1W")

# monthly
df = cf.get_df("SP500_EWS_origin_biz_news", freq="1M")

Metadata

Valid From	Delivery Schedule	Time Zone	Data Frequency
2008-02-01	UTC 0 9 * * *	US/Eastern	1W, 1M

Item List

• weekly

  • SP500_EWS_origin_biz_news: Previous version of the weekly S&P 500 EWS based on global sentiment time series index (post_sarima_sent_biz_news-1_1-sum_per)

  • SP500_EWS_biz_news: Latest version of the weekly S&P 500 EWS based on global sentiment time series index (post_sarima_sent_biz_news-1_2-sum_sum)

• monthly

  • SP500_EWS_origin_biz_news: Previous version of the monthly S&P 500 EWS based on global sentiment time series index (post_sarima_sent_biz_news-1_1-sum_per)

  • SP500_EWS_biz_news: Latest version of the monthly S&P 500 EWS based on global sentiment time series index (post_sarima_sent_biz_news-1_2-sum_sum)

  • us_tone_m3_EWS_compustat: Monthly S&P 500 EWS based on key term sentiment US sentiment index

  • us_tone_m3_exp_EWS_compustat: Monthly S&P 500 EWS based on key term sentiment export US sentiment index