News impact on stock price return via sentiment analysis

• Published in: Knowledge-based systems Vol. 69; pp. 14 - 23
• Main Authors: Li, Xiaodong, Xie, Haoran, Chen, Li, Wang, Jianping, Deng, Xiaotie
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.10.2014
• Subjects: Data mining; Dictionaries; Experiment; Impact analysis; Markets; Mathematical models; Movements; News; News impact; Prediction; Raw materials; Sentiment; Stock price return; News impact; Stock price return; Experiment; Sentiment; Prediction

Financial news articles are believed to have impacts on stock price return. Previous works model news pieces in bag-of-words space, which analyzes the latent relationship between word statistical patterns and stock price movements. However, news sentiment, which is an important ring on the chain of...