Conference Paper/Proceeding/Abstract 841 views 167 downloads
Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
Alex Momotov,
Xianghua Xie 
International Conference on Data Mining and Knowledge Discovery
Swansea University Author:
Xianghua Xie
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Abstract
This research contrasts and compares the state-of-the-art techniques of the two approaches within the domain of news sentiment analysis, as well as, investigates a novel document encoding representation of the `TF-IDF momentum matrix'. The presented lexicon-based methodology is centred around L...
| Published in: | International Conference on Data Mining and Knowledge Discovery |
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| Published: |
2019
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa48786 |
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| Abstract: |
This research contrasts and compares the state-of-the-art techniques of the two approaches within the domain of news sentiment analysis, as well as, investigates a novel document encoding representation of the `TF-IDF momentum matrix'. The presented lexicon-based methodology is centred around Loughran & McDonald financial sentiment word lists and reaches 86.4% explained stock momentum variance, whereas the classification approach follows a thematic analysis pipeline implementing Latent Dirichlet Allocation and achieves that of 94.8%. As an additional element of model evaluation, the research implements Thermal Optimal Path method which relies on a dynamic programming approach for performance optimisation. |
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| College: |
Faculty of Science and Engineering |