Handbook of Sentiment Analysis in Finance
Editors: Gautam Mitra and Xiang Yu
Release Date: May 2016
Available in Hardback and as an E-Book
LINK to Order: http://optirisk-systems.com/publications/Sentiment_Analysis_Handbook.asp
Building on the success of the Handbook of News Analytics in Finance, the editors have researched and compiled this updated volume of the Handbook; the publication date is May 2016. In the last four years there has been explosive developments in the domain of sentiment analysis in general and sentiment classification in particular. There has been a growing consumer interest in social media and these new media sources have become the leading ‘influencers’ of market sentiment. The latest edition includes multiple sources of information such as:
News Wires
- News Wires
- Macro-economic Announcements
- Social Media
- Microblogs/Twitter
- Online (search) Information e.g. Google Trends
The applications of sentiment analysis are considered for multiple asset classes including:
- Equities
- Fixed Income Instruments
- Foreign Exchange
- Commodities (Oil, Gas, Energy and others)
- Green Commodities
| Chapter 1 |
| Progress in sentiment analysis applied to finance: an overview Gautam Mitra (Visiting Professor, UCL; Emeritus Professor, Brunel University; CEO, OptiRisk Systems) and Xiang Yu (Researcher, OptiRisk Systems) Abstract:In this overview chapter we first give a summary of the different ways textual information is processed and transformed into quantitative sentiment scores. We define the concept of market …[..MORE..]
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| Part I – TEXT ANALYTICS AND SENTIMENT CLASSIFICATION |
| Ch.2: Compositional Sentiment AnalysisStephen Pulman (Professor of Computer Science, Somerville College, Oxford University; Co-founder, Thársis)
Abstract:A fundamental principle of natural language semantics is “compositionality”, the principle that the meaning of a phrase or sentence is a function of the meanings of the words contained in it and their manner of combination. …[..MORE..]
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| Ch. 3: Document Sentiment ClassificationBing Liu (Professor, Department of Computer Science, University of Illinois at Chicago)
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| Ch. 4: Sentence Subjectivity and Sentiment Classification Bing Liu (Professor, Department of Computer Science, University of Illinois at Chicago)
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| Part II – ONLINE SEARCH AND SOCIAL MEDIA SOURCES |
| Ch. 5: Twitter Sentiment Analysis: Lexicon Method, Machine Learning Method and Their CombinationOlga Kolchyna (PhD Researcher, UCL), Tha´rsis Souza (PhD Researcher, UCL), Tomaso Aste (Head of Financial Computing & Analytics Group, Department of Computer Science, UCL) Philip Treleaven (Professor of Computer Science, UCL)
Abstract:This chapter covers the two approaches for sentiment analysis: …[..MORE..]
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| Ch. 6: Sentiment Analysis in MicroblogsFederico Pozzi (Currently: Analytical Consultant, SAS; Formerly: Researcher, University of Milano-Bicocca), Enza Messina (Professor, University of Milano-Bicocca), Elisabetta Fersini (Postdoctoral Research Fellow, University of Milano-Bicocca)
Abstract:The huge amount of textual data on the Web has grown in the last few years rapidly creating unique contents of massive dimensions that constitutes fertile ground for Sentiment Analysis (SA). …[..MORE..]
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| Ch. 7: Quantifying Wikipedia Usage Patterns before Stock Market MovesHelen Susannah Moat (Associate Professor of Behavioural Science, Warwick Business School, Warwick University), Chester Curme (Currently: Quantitative Analyst, Loomis, Sayles and Company; Formerly: Research Assistant, Boston University), Tobias Preis (Associate Professor of Behavioural Science & Finance, Warwick Business School, Warwick University; Founder, Artemis Capital Asset Management), H. Eugene Stanley(Distinguished Professor, Boston University), Adam Avakian (Boston University), Dror Y. Kenett (Currently: Researcher, US Department of Treasury, OFR; Formerly: Researcher, Boston University).
Abstract:Financial crises result from a catastrophic combination of actions. …[..MORE..]
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| Ch. 8: Investor Attention and the Pricing of Earnings NewsAsher Curtis (Assistant Professor and Herbert O. Whitten Endowed Professorship in Accounting, University of Washington), Vernon J. Richardson (Professor in Accounting, University of Arkansas) & Roy Schmardebeck (Assistant Professor, University of Missouri)
Abstract:We investigate whether investor attention is associated with the pricing (and mispricing) of earnings news where investor attention is measured using social media activity. …[..MORE..]
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| PART III – SENTIMENT ANALYSIS APPLIED TO EQUITIES |
| Ch. 9: Predicting Stock Returns using Text Mining ToolsGurvinder Brar (Global Head of Quantitative Research, Macquarie Securities), Giuliano De Rossi (Head of European Quantitative Research Team, Macquarie Securities) & Nilesh Kalamkar (Quantitative Researcher, Macquarie Securities)
Abstract:This paper documents the research undertaken by the Macquarie Global Quantitative Research Group utilising text mining tools applied to ‘unstructured text’ to predict stock returns. …[..MORE..]
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| Ch. 10: Sentiment and Investor BehaviourElijah DePalma (Senior Quantitative Research Analyst, Thomson Reuters)
Abstract:Thomson Reuters News Analytics provides automated sentiment and linguistic analytics on financial news, and using Thomson Reuters News Analytics we construct a US market sentiment index from corporate Reuters news sentiment. …[..MORE..]
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| Ch. 11: Thematic Alpha Streams Improve Performance of Equity PortfoliosPeter Hafez (Chief Data Scientist,, RavenPack)
Abstract:In this paper, we propose a robust methodology for equity portfolio construction using news-based thematic alphas. …[..MORE..]
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| Ch. 12: The Psychology of Markets: Information processing and the impact on asset pricesRichard Peterson (CEO, MarketPsych)
Abstract:Crowds move markets. Such crowds are made up of individuals – individuals who invest, trade, or manage portfolios. They are moved not only by what they read and hear, but often more so by their emotional reactions to such information. …[..MORE..]
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| Ch. 13: An Impact Measure for News: its use in (daily) trading strategiesGautam Mitra (Visiting Professor, UCL; Emeritus Professor, Brunel University; CEO, OptiRisk Systems),Xiang Yu (Researcher, OptiRisk Systems), Cristiano Arbex-Valle (Senior Software Engineer and Consultant, OptiRisk Systems) and Tilman Sayer (Senior Quant Research Analyst, OptiRisk Systems)
Abstract:We investigate how ‘news sentiment’ in general and the ‘impact of news’ in particular can be utilised in designing equity trading strategies. …[..MORE..]
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| Ch. 14: The Unbearable Lightness of Expectations of the Chinese InvestorEric Tham (Director of Quantitative Strategies, iMaibo)
Abstract:The Chinese equities market have witnessed wild swings in 2014-2015. Its impact on the Chinese economy and in turn on the Feds perpetual decision to raise rates has been indirect but substantial …[..MORE..]
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| PART IV – SENTIMENT ANALYSIS FOR OTHER ASSET CLASSES: ENERGY, COMMODITIES, GREEN COMMODITIES, BONDS, AND FX |
| Ch. 15: The Role of News in Commodity MarketsSvetlana Borovkova (Associate Professor, Vrije Universiteit Amsterdam; Researcher, Dutch Central Bank)
Abstract:In this chapter, we give a broad overview of how commodity-related news affect commodity markets. …[..MORE..]
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| Ch. 16: Predicting Global Economic Activity with Media AnalyticsRichard Peterson (CEO, MarketPsych), Aleksander Fafula (Chief Data Scientist, MarketPsych)
Abstract:In this paper we demonstrate how real-time news and social media analytics can be used to model global economic activity. Accurately quantifying economic growth in a timely fashion is an enduring challenge to economists. …[..MORE..]
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| Ch. 17: Credit Risk Assessment of Corporate Debt using Sentiment and NewsDan diBartolomeo (Founder, Northfield Information Services)
Abstract:Since the Global Financial Crisis of 2007–2009, history has been marked by numerous failures to correctly assess the credit worthiness of financial instruments, financial institutions and governments. …[..MORE..]
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| Ch. 18: Trading Bond Futures (& FX) with News Meta DataSaeed Amen (Managing Director and Co-founder, The Thalesians)
Abstract:Over the past few years, strategies which use news analytics have become more popular. Whilst the focus has been on equities, there is also significant news flow when it comes to macro assets. …[..MORE..]
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| Ch. 19: Currency Sentiment AnalysisRichard Peterson (CEO, MarketPsych) , Changjie Liu (Chief of Analytics, MarketPsych)
Abstract:Alexander Hamilton identified that uncertainty irrationally debases a currency and trust inflates its value. …[..MORE..]
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| PART V – USE OF SENTIMENT ANALYSIS IN WEEKLY, DAILY AND HIGH FREQUENCY TRADING |
| Ch. 20: Role of Options Markets in Price Discovery: Trading around News on Dow 30 OptionsNitish Sinha (Economist, Federal Reserve Board), Wei Dong (Credit Risk Analyst Lead, AIG)
Abstract:Using intraday data on stocks, options and firm-specific news events for Dow30 stocks, we find the volume of trading in the options increases almost seven times an hour before news, whereas the stock volume increases by 17%. …[..MORE..]
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| Ch. 21: Abnormal news volume and underreaction to soft information.Michal Dzielinski (Postdoctoral Research Fellow, Stockholm University)
Abstract:News tone has been gaining popularity in the academic literature as a measure “soft information” and numerous studies have explored its role for asset prices. …[..MORE..]
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| Ch. 22: Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and TradingGautam Mitra (Visiting Professor, UCL; Emeritus Professor, Brunel University; CEO, OptiRisk Systems), Xiang Yu (Researcher, OptiRisk Systems), Dan diBartolomeo (CEO, Northfield; Visiting Professor, Brunel University) and Ashok Banerjee (Financial Research and Trading Lab, IIM Calcutta)
Abstract:Computer trading in financial markets is a rapidly developing field with a growing number of applications. …[..MORE..]
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| PART VI – APPLICATIONS OF SENTIMENT ANALYSIS: CASE STUDIES |
| Ch. 23: Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail IndustryTha´rsis Souza (PhD Researcher, UCL), Olga Kolchyna (PhD Researcher, UCL) and Tomaso Aste (Head of Financial Computing & Analytics Group, Department of Computer Science, UCL)
Abstract:This chapter presents a financial analysis over Twitter sentiment analytics extracted from listed retail brands. …[..MORE..]
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| Ch. 24: Financial Prediction from Heterogenous Streams of Online Lead IndicatorsAbby Levenberg (Formerly: Senior Research Assistant, Oxford-Man Institute, University of Oxford; Currently: Research Scientist, WorkFusion), Stephen Pulman (Professor of Computer Science, Somerville College, Oxford University; Co-founder, Thársis), Edwin Simpson (Postdoctoral Research Fellow, Oxford University), Stephen Roberts (Professor of Machine Engineering, Oxford University), Karo Moilanen (Co-founder & CTO, Thársis) and Georg Gottlob (Professor of Computing Science, Oxford University)
Abstract:Learning to predict trends of financial and economic variables is a hard problem with a large body of literature devoted to it. …[..MORE..]
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| PART VII – Directory of Service Providers |
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