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Analysis of news sentiments using natural language processing and deep learning

Mattia Vicari, +1 more
- 01 Sep 2021 - 
- Vol. 36, Iss: 3, pp 1-7
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TLDR
This paper investigates if and to what point it is possible to trade on news sentiment and if deep learning (DL), given the current hype on the topic, would be a good tool to do so.
Abstract
This paper investigates if and to what point it is possible to trade on news sentiment and if deep learning (DL), given the current hype on the topic, would be a good tool to do so. DL is built explicitly for dealing with significant amounts of data and performing complex tasks where automatic learning is a necessity. Thanks to its promise to detect complex patterns in a dataset, it may be appealing to those investors that are looking to improve their trading process. Moreover, DL and specifically LSTM seem a good pick from a linguistic perspective too, given its ability to “remember” previous words in a sentence. After having explained how DL models are built, we will use this tool for forecasting the market sentiment using news headlines. The prediction is based on the Dow Jones industrial average by analyzing 25 daily news headlines available between 2008 and 2016, which will then be extended up to 2020. The result will be the indicator used for developing an algorithmic trading strategy. The analysis will be performed on two specific cases that will be pursued over five time-steps and the testing will be developed in real-world scenarios.

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References
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News sentiment analysis on DJIA stocks?

The paper investigates the possibility of trading on news sentiment using deep learning models, specifically LSTM, and applies it to forecast market sentiment based on news headlines of the Dow Jones industrial average.