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Conference Paper/Proceeding/Abstract 209 views 14 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

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...

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Published in: International Conference on Data Mining and Knowledge Discovery
Published: 2019
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.
College: College of Science