No Cover Image

Conference Paper/Proceeding/Abstract 841 views 167 downloads

Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns

Alex Momotov, Xianghua Xie Orcid Logo

International Conference on Data Mining and Knowledge Discovery

Swansea University Author: Xianghua Xie Orcid Logo

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...

Full description

Published in: International Conference on Data Mining and Knowledge Discovery
Published: 2019
URI: https://cronfa.swan.ac.uk/Record/cronfa48786
Tags: Add Tag
No Tags, Be the first to tag this record!
first_indexed 2019-02-11T11:58:09Z
last_indexed 2019-03-27T11:20:10Z
id cronfa48786
recordtype SURis
fullrecord <?xml version="1.0"?><rfc1807><datestamp>2019-03-26T16:10:13.7636167</datestamp><bib-version>v2</bib-version><id>48786</id><entry>2019-02-09</entry><title>Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns</title><swanseaauthors><author><sid>b334d40963c7a2f435f06d2c26c74e11</sid><ORCID>0000-0002-2701-8660</ORCID><firstname>Xianghua</firstname><surname>Xie</surname><name>Xianghua Xie</name><active>true</active><ethesisStudent>false</ethesisStudent></author></swanseaauthors><date>2019-02-09</date><deptcode>SCS</deptcode><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 &amp; 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.</abstract><type>Conference Paper/Proceeding/Abstract</type><journal>International Conference on Data Mining and Knowledge Discovery</journal><publisher/><keywords/><publishedDay>1</publishedDay><publishedMonth>4</publishedMonth><publishedYear>2019</publishedYear><publishedDate>2019-04-01</publishedDate><doi/><url/><notes/><college>COLLEGE NANME</college><department>Computer Science</department><CollegeCode>COLLEGE CODE</CollegeCode><DepartmentCode>SCS</DepartmentCode><institution>Swansea University</institution><apcterm/><lastEdited>2019-03-26T16:10:13.7636167</lastEdited><Created>2019-02-09T11:50:18.2870043</Created><path><level id="1">Faculty of Science and Engineering</level><level id="2">School of Mathematics and Computer Science - Computer Science</level></path><authors><author><firstname>Alex</firstname><surname>Momotov</surname><order>1</order></author><author><firstname>Xianghua</firstname><surname>Xie</surname><orcid>0000-0002-2701-8660</orcid><order>2</order></author></authors><documents><document><filename>0048786-09022019115040.pdf</filename><originalFilename>DMKDConferencePaper.pdf</originalFilename><uploaded>2019-02-09T11:50:40.9070000</uploaded><type>Output</type><contentLength>818661</contentLength><contentType>application/pdf</contentType><version>Accepted Manuscript</version><cronfaStatus>true</cronfaStatus><embargoDate>2020-04-09T00:00:00.0000000</embargoDate><copyrightCorrect>true</copyrightCorrect><language>eng</language></document></documents><OutputDurs/></rfc1807>
spelling 2019-03-26T16:10:13.7636167 v2 48786 2019-02-09 Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns b334d40963c7a2f435f06d2c26c74e11 0000-0002-2701-8660 Xianghua Xie Xianghua Xie true false 2019-02-09 SCS 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. Conference Paper/Proceeding/Abstract International Conference on Data Mining and Knowledge Discovery 1 4 2019 2019-04-01 COLLEGE NANME Computer Science COLLEGE CODE SCS Swansea University 2019-03-26T16:10:13.7636167 2019-02-09T11:50:18.2870043 Faculty of Science and Engineering School of Mathematics and Computer Science - Computer Science Alex Momotov 1 Xianghua Xie 0000-0002-2701-8660 2 0048786-09022019115040.pdf DMKDConferencePaper.pdf 2019-02-09T11:50:40.9070000 Output 818661 application/pdf Accepted Manuscript true 2020-04-09T00:00:00.0000000 true eng
title Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
spellingShingle Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
Xianghua Xie
title_short Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
title_full Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
title_fullStr Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
title_full_unstemmed Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
title_sort Determining Lead-Lag Structure between Sentiment Index and Stock Price Returns
author_id_str_mv b334d40963c7a2f435f06d2c26c74e11
author_id_fullname_str_mv b334d40963c7a2f435f06d2c26c74e11_***_Xianghua Xie
author Xianghua Xie
author2 Alex Momotov
Xianghua Xie
format Conference Paper/Proceeding/Abstract
container_title International Conference on Data Mining and Knowledge Discovery
publishDate 2019
institution Swansea University
college_str Faculty of Science and Engineering
hierarchytype
hierarchy_top_id facultyofscienceandengineering
hierarchy_top_title Faculty of Science and Engineering
hierarchy_parent_id facultyofscienceandengineering
hierarchy_parent_title Faculty of Science and Engineering
department_str School of Mathematics and Computer Science - Computer Science{{{_:::_}}}Faculty of Science and Engineering{{{_:::_}}}School of Mathematics and Computer Science - Computer Science
document_store_str 1
active_str 0
description 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.
published_date 2019-04-01T03:59:26Z
_version_ 1763753031426375680
score 11.013731

Similar Items