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A sentiment analysis-based machine learning approach for financial market prediction via news disclosures - 2018

A Sentiment Analysis-Based Machine Learning Approach For Financial Market Prediction Via News Disclosures

Research Paper on A Sentiment Analysis-Based Machine Learning Approach For Financial Market Prediction Via News Disclosures

Research Area:  Machine Learning

Abstract:

Stock market prediction plays an important role in financial decision-making for investors. Many of them rely on news disclosures to make their decisions in buying or selling stocks. However, accurate modelling of stock market trends via news disclosures is a challenging task, considering the complexity and ambiguity of natural languages used. Unlike previous work along this line of research, which typically applies bag-of-words to extract tens of thousands of features to build a prediction model, we propose a sentiment analysis-based approach for financial market prediction using news disclosures. Specifically, sentiment analysis is carried out in the pre-processing phase to extract sentiment-related features from financial news. Historical stock market data from the perspective of time series analysis is also included as an input feature. With the extracted features, we use a support vector machine (SVM) to build the prediction model, with its parameters optimised through particle swarm optimisation (PSO). Experimental results show that our proposed SVM and PSO-based model is able to obtain better results than a deep learning model in terms of time and accuracy. The results presented here are to date the best in the literature based on the financial news dataset tested. This excellent performance is attributed to the sentiment analysis done during the pre-processing stage, as it reduces the feature dimensions significantly.

Keywords:  
Sentiment Analysis
Machine Learning
Financial Market Prediction
News Disclosures
Deep Learning

Author(s) Name:  Raymond Chiong,Zongwen Fan , Zhongyi Hu ,Marc T. P. Adam,Bernhard Lutz, Dirk Neumann

Journal name:  

Conferrence name:  GECCO -18: Proceedings of the Genetic and Evolutionary Computation Conference Companion

Publisher name:  ACM

DOI:  10.1145/3205651.3205682

Volume Information: