Event Based Sentiment Analysis on Futures Trading

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Published: Mar 9, 2020
DOI: https://doi.org/10.5750/jpm.v13i1.1731
Keywords:
Sentiment Analysis Futures Market Event Analysis Document Clustering Natural Language Processing (NLP)

Main Article Content

Ritu Yadav
Indian Institute of Management, Rohtak, India
Ashwani Kumar
Indian Institute of Management, Lucknow, India
A. Vinay Kumar
Indian Institute of Management, Lucknow, India

Abstract

Market expectations as well as perception of the investment risks and returns are dependent on information arrivals. News arrival forms the basis for market sentiment, which in turn forms the basis for trading positions. Research in sentiment analysis focuses on quantifying the impact that news has on prevailing market sentiment.However, it is not news but events that impact the market sentiment; and the news is one of the modes to disseminate information about the events. Sentiment analysis must distinguish the events from news and events should be used as the predicting construct for market sentiments. This paper proposes an event-based sentiment analysis model that entails event identification, event-based training data creation, and event representation algorithms.A comparative analysis of news-based and event-based sentiment analysis is done on high-frequency futures trades, using the real-time news as the source of market information. The proposed event-based sentiment analysis performed better than the traditional news-based sentiment analysis when evaluated using both the statistical metrics and simulated trading. This paper presents pivotal research in the direction of event-based sentiment analysis models and its implication on algorithmic trading.

Article Details

Issue
Vol. 13 No. 1 (2019)
Section
Articles
Author Biographies

Ritu Yadav, Indian Institute of Management, Rohtak, India

Assistant ProfessorManagement Information Systems

Ashwani Kumar, Indian Institute of Management, Lucknow, India

ProfessorInformation Technology & Systems

A. Vinay Kumar, Indian Institute of Management, Lucknow, India

ProfessorFinance and Accounting

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