Construction and Application of Sentiment Lexicons in Finance

Kazuhiro Seki and Masahiko Shibamoto
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Kazuhiro Seki: Konan University, Kobe, Japan

International Journal of Multimedia Data Engineering and Management (IJMDEM), 2018, vol. 9, issue 1, 22-35

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.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:igg:jmdem0:v:9:y:2018:i:1:p:22-35

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