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Construction and Application of Sentiment Lexicons in Finance

Author

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  • Kazuhiro Seki

    (Konan University, Kobe, Japan)

  • Masahiko Shibamoto

    (Kobe University, Kobe, Japan)

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.

Suggested Citation

  • Kazuhiro Seki & Masahiko Shibamoto, 2018. "Construction and Application of Sentiment Lexicons in Finance," International Journal of Multimedia Data Engineering and Management (IJMDEM), IGI Global, vol. 9(1), pages 22-35, January.
    • Handle: RePEc:igg:jmdem0:v:9:y:2018:i:1:p:22-35
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