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Construction and Application of Sentiment Lexicons in Finance

Construction and Application of Sentiment Lexicons in Finance
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Author(s): Kazuhiro Seki (Konan University, Kobe, Japan)and Masahiko Shibamoto (Kobe University, Kobe, Japan)
Copyright: 2018
Volume: 9
Issue: 1
Pages: 14
Source title: International Journal of Multimedia Data Engineering and Management (IJMDEM)
Editor(s)-in-Chief: Chengcui Zhang (University of Alabama at Birmingham, USA)and Shu-Ching Chen (University of Missouri-Kansas City, United States)
DOI: 10.4018/IJMDEM.2018010102

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Abstract

This article proposes an approach to constructing sentiment lexicons in the financial domain. The approach takes advantages of news bulletins and a given financial variable, such as stock prices, to generate candidates of sentiment expressions by fusing the two data sources. The candidates are then filtered based on their co-occurrences with financial seed words and are subsequently expanded by analogical reasoning using distributed representation of words. Evaluative experiments on real-world news and stock price data shows that the resulting lexicons are mostly reasonable and capture the characteristics of the target financial variables. As a potential application, trading simulation is also carried out based on the resulting financial sentiment lexicons, demonstrating the utility of the lexicons.

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