• Title/Summary/Keyword: Financial Sentiment Analysis

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Construction of Consumer Confidence index based on Sentiment analysis using News articles (뉴스기사를 이용한 소비자의 경기심리지수 생성)

  • Song, Minchae;Shin, Kyung-shik
    • Journal of Intelligence and Information Systems
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    • v.23 no.3
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    • pp.1-27
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    • 2017
  • It is known that the economic sentiment index and macroeconomic indicators are closely related because economic agent's judgment and forecast of the business conditions affect economic fluctuations. For this reason, consumer sentiment or confidence provides steady fodder for business and is treated as an important piece of economic information. In Korea, private consumption accounts and consumer sentiment index highly relevant for both, which is a very important economic indicator for evaluating and forecasting the domestic economic situation. However, despite offering relevant insights into private consumption and GDP, the traditional approach to measuring the consumer confidence based on the survey has several limits. One possible weakness is that it takes considerable time to research, collect, and aggregate the data. If certain urgent issues arise, timely information will not be announced until the end of each month. In addition, the survey only contains information derived from questionnaire items, which means it can be difficult to catch up to the direct effects of newly arising issues. The survey also faces potential declines in response rates and erroneous responses. Therefore, it is necessary to find a way to complement it. For this purpose, we construct and assess an index designed to measure consumer economic sentiment index using sentiment analysis. Unlike the survey-based measures, our index relies on textual analysis to extract sentiment from economic and financial news articles. In particular, text data such as news articles and SNS are timely and cover a wide range of issues; because such sources can quickly capture the economic impact of specific economic issues, they have great potential as economic indicators. There exist two main approaches to the automatic extraction of sentiment from a text, we apply the lexicon-based approach, using sentiment lexicon dictionaries of words annotated with the semantic orientations. In creating the sentiment lexicon dictionaries, we enter the semantic orientation of individual words manually, though we do not attempt a full linguistic analysis (one that involves analysis of word senses or argument structure); this is the limitation of our research and further work in that direction remains possible. In this study, we generate a time series index of economic sentiment in the news. The construction of the index consists of three broad steps: (1) Collecting a large corpus of economic news articles on the web, (2) Applying lexicon-based methods for sentiment analysis of each article to score the article in terms of sentiment orientation (positive, negative and neutral), and (3) Constructing an economic sentiment index of consumers by aggregating monthly time series for each sentiment word. In line with existing scholarly assessments of the relationship between the consumer confidence index and macroeconomic indicators, any new index should be assessed for its usefulness. We examine the new index's usefulness by comparing other economic indicators to the CSI. To check the usefulness of the newly index based on sentiment analysis, trend and cross - correlation analysis are carried out to analyze the relations and lagged structure. Finally, we analyze the forecasting power using the one step ahead of out of sample prediction. As a result, the news sentiment index correlates strongly with related contemporaneous key indicators in almost all experiments. We also find that news sentiment shocks predict future economic activity in most cases. In almost all experiments, the news sentiment index strongly correlates with related contemporaneous key indicators. Furthermore, in most cases, news sentiment shocks predict future economic activity; in head-to-head comparisons, the news sentiment measures outperform survey-based sentiment index as CSI. Policy makers want to understand consumer or public opinions about existing or proposed policies. Such opinions enable relevant government decision-makers to respond quickly to monitor various web media, SNS, or news articles. Textual data, such as news articles and social networks (Twitter, Facebook and blogs) are generated at high-speeds and cover a wide range of issues; because such sources can quickly capture the economic impact of specific economic issues, they have great potential as economic indicators. Although research using unstructured data in economic analysis is in its early stages, but the utilization of data is expected to greatly increase once its usefulness is confirmed.

A Study on the Effect of Investor Sentiment and Liquidity on Momentum and Stock Returns (투자자 심리와 유동성이 모멘텀과 주식수익률에 미치는 영향 연구)

  • In-Su, Kim
    • Journal of Industrial Convergence
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    • v.20 no.11
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    • pp.75-83
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    • 2022
  • This study analyzes whether investor sentiment and liquidity explain the momentum phenomenon in the Korean stock market and whether it is a risk factor for the asset pricing model. The empirical analysis used the monthly returns of non-financial companies listed on the stock market during the period 2000-2021. As a result of the analysis, first, it was found that there is a momentum effect in Korea. This is the same result as the previous study, and since 2000, the momentum effect has been accepted as a general phenomenon in the Korean stock market. Second, if we look at the portfolio based on investor sentiment, investor sentiment is influencing momentum. In particular, when investor sentiment is negative, the return on the winner portfolio is high. Third, as a result of the analysis based on liquidity, the momentum effect disappears and a reversal effect appears. Fourth, it was found that investor sentiment and liquidity influence the momentum effect. This is a result of the strong momentum effect in the illiquid stock group with negative investor sentiment. Fifth, as a result of analyzing the effect of each factor on stock returns, it was found that both investor psychology and liquidity factors have a significant impact on returns. The estimated results provide evidence that the inclusion of these two factors in the Carhart four-factor model significantly increases the predictive power of the model. Therefore, it can be said that investor sentiment factors and liquidity factors are important factors in determining stock returns.

The Analysis of Factors which Affect Business Survey Index Using Regression Trees (회귀나무를 이용한 기업경기실사지수의 영향요인 분석)

  • Chang, Young-Jae
    • The Korean Journal of Applied Statistics
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    • v.23 no.1
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    • pp.63-71
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    • 2010
  • Business entrepreneurs reflect their views of domestic and foreign economic activities on their operation for the growth of their business. The decision, forecasting, and planning based on their economic sentiment affect business operation such as production, investment, and hiring and consequently affect condition of national economy. Business survey index(BSI) is compiled to get the information of business entrepreneurs' economic sentiment for the analysis of business condition. BSI has been used as an important variable in the short-term forecasting models for business cycle analysis, especially during the the period of extreme business fluctuations. Recent financial crisis has arised extreme business fluctuations similar to those caused by currency crisis at the end of 1997, and brought back the importance of BSI as a variable for the economic forecasting. In this paper, the meaning of BSI as an economic sentiment index is reviewed and a GUIDE regression tree is constructed to find out the factors which affect on BSI. The result shows that the variables related to the stability of financial market such as kospi index(Korea composite stock price index) and exchange rate as well as manufacturing operation ratio and consumer goods sales are main factors which affect business entrepreneurs' economic sentiment.

Target-Aspect-Sentiment Joint Detection with CNN Auxiliary Loss for Aspect-Based Sentiment Analysis (CNN 보조 손실을 이용한 차원 기반 감성 분석)

  • Jeon, Min Jin;Hwang, Ji Won;Kim, Jong Woo
    • Journal of Intelligence and Information Systems
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    • v.27 no.4
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    • pp.1-22
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    • 2021
  • Aspect Based Sentiment Analysis (ABSA), which analyzes sentiment based on aspects that appear in the text, is drawing attention because it can be used in various business industries. ABSA is a study that analyzes sentiment by aspects for multiple aspects that a text has. It is being studied in various forms depending on the purpose, such as analyzing all targets or just aspects and sentiments. Here, the aspect refers to the property of a target, and the target refers to the text that causes the sentiment. For example, for restaurant reviews, you could set the aspect into food taste, food price, quality of service, mood of the restaurant, etc. Also, if there is a review that says, "The pasta was delicious, but the salad was not," the words "steak" and "salad," which are directly mentioned in the sentence, become the "target." So far, in ABSA, most studies have analyzed sentiment only based on aspects or targets. However, even with the same aspects or targets, sentiment analysis may be inaccurate. Instances would be when aspects or sentiment are divided or when sentiment exists without a target. For example, sentences like, "Pizza and the salad were good, but the steak was disappointing." Although the aspect of this sentence is limited to "food," conflicting sentiments coexist. In addition, in the case of sentences such as "Shrimp was delicious, but the price was extravagant," although the target here is "shrimp," there are opposite sentiments coexisting that are dependent on the aspect. Finally, in sentences like "The food arrived too late and is cold now." there is no target (NULL), but it transmits a negative sentiment toward the aspect "service." Like this, failure to consider both aspects and targets - when sentiment or aspect is divided or when sentiment exists without a target - creates a dual dependency problem. To address this problem, this research analyzes sentiment by considering both aspects and targets (Target-Aspect-Sentiment Detection, hereby TASD). This study detected the limitations of existing research in the field of TASD: local contexts are not fully captured, and the number of epochs and batch size dramatically lowers the F1-score. The current model excels in spotting overall context and relations between each word. However, it struggles with phrases in the local context and is relatively slow when learning. Therefore, this study tries to improve the model's performance. To achieve the objective of this research, we additionally used auxiliary loss in aspect-sentiment classification by constructing CNN(Convolutional Neural Network) layers parallel to existing models. If existing models have analyzed aspect-sentiment through BERT encoding, Pooler, and Linear layers, this research added CNN layer-adaptive average pooling to existing models, and learning was progressed by adding additional loss values for aspect-sentiment to existing loss. In other words, when learning, the auxiliary loss, computed through CNN layers, allowed the local context to be captured more fitted. After learning, the model is designed to do aspect-sentiment analysis through the existing method. To evaluate the performance of this model, two datasets, SemEval-2015 task 12 and SemEval-2016 task 5, were used and the f1-score increased compared to the existing models. When the batch was 8 and epoch was 5, the difference was largest between the F1-score of existing models and this study with 29 and 45, respectively. Even when batch and epoch were adjusted, the F1-scores were higher than the existing models. It can be said that even when the batch and epoch numbers were small, they can be learned effectively compared to the existing models. Therefore, it can be useful in situations where resources are limited. Through this study, aspect-based sentiments can be more accurately analyzed. Through various uses in business, such as development or establishing marketing strategies, both consumers and sellers will be able to make efficient decisions. In addition, it is believed that the model can be fully learned and utilized by small businesses, those that do not have much data, given that they use a pre-training model and recorded a relatively high F1-score even with limited resources.

MPIL: Market prediction through image learning of unstructured and structured data (비정형, 정형 데이터의 이미지 학습을 활용한 시장예측)

  • Lee, Yoon Seon;Lee, Ju Hong;Choi, Bum Ghi;Song, Jae Won
    • Smart Media Journal
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    • v.10 no.2
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    • pp.16-21
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    • 2021
  • Financial time series analysis plays a very important role economically and socially in modern society and is an important task affecting global development, but due to difficulties such as a lot of noise and uncertainty, financial time series analysis prediction is a difficult research topic. In this paper, we propose a market prediction method (MPIL) by converting unstructured data and structured data into images. For market prediction, it analyzes SNS and news data, which is unstructured data for n days, and converts the market data, which is structured data, to an image with the GADF algorithm, and predicts an ultra-short market that predicts the price of n+1 days through image learning. MPIL has an average accuracy of 56%, which is higher than the 50% average accuracy of the model that predicts the market with LSTM by using sentiment analysis used for existing market forecasting.

Factor augmentation for cryptocurrency return forecasting (암호화폐 수익률 예측력 향상을 위한 요인 강화)

  • Yeom, Yebin;Han, Yoojin;Lee, Jaehyun;Park, Seryeong;Lee, Jungwoo;Baek, Changryong
    • The Korean Journal of Applied Statistics
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    • v.35 no.2
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    • pp.189-201
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    • 2022
  • In this study, we propose factor augmentation to improve forecasting power of cryptocurrency return. We consider financial and economic variables as well as psychological aspect for possible factors. To be more specific, financial and economic factors are obtained by applying principal factor analysis. Psychological factor is summarized by news sentiment analysis. We also visualize such factors through impulse response analysis. In the modeling perspective, we consider ARIMAX as the classical model, and random forest and deep learning to accommodate nonlinear features. As a result, we show that factor augmentation reduces prediction error and the GRU performed the best amongst all models considered.

The Effect of Optimistic Investors' Sentiment on Anomalious Behaviors in the Hot Market IPOs (낙관적 투자자의 기대가 핫마켓상황 IPO 시장의 이상현상에 미치는 영향력 검증)

  • Kim, Hyeon-A;Jung, Sung-Chang
    • The Korean Journal of Financial Management
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    • v.27 no.2
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    • pp.1-33
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    • 2010
  • This study explores if the higher initial returns and the poorer long-run performance observed in the IPOs markets are associated with the firms offered in the 'hot markets,' and then empirically examines the effect of optimistic investors' sentiment on this phenomenon, particularly in the aspects of both pricing mechanism and the opportunistic behavior of offering firms. We analyzed a total of 432 IPO firms for the years between 2001 and 2005. This analysis finds that the initial returns and long-run under-performances of 'IPOs in the hot market' are significantly higher than those of 'IPOs in the cold market.' This study also finds that the proxy variables for the optimistic investors' sentiment have a positive effect on the initial return and negative effect on the long-run performance. Finally, this research finds no difference of ownership structure, venture capital backed, and financial properties between hot market IPOs and cold market IPOs. R&D expenditure rate and financial qualities of IPOs are higher in the hot market than in the cold market. These results do not support the 'windows of opportunity' hypothesis that low quality firms take advantage of hot market condition for successful IPOs.

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A study of Corpus Annotation for Aspect Based Sentiment Analysis of Korean financial texts (한국어 경제 도메인 텍스트 속성 기반 감성 분석을 위한 말뭉치 주석 요소 연구)

  • Seoyoon Park;Yeonji Jang;Yejee Kang;Hyerin Kang;Hansaem Kim
    • Annual Conference on Human and Language Technology
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    • 2022.10a
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    • pp.232-237
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    • 2022
  • 본 논문에서는 미세 조정(fine-tuning) 및 비지도 학습 기법을 사용하여 경제 분야 텍스트인 금융 리포트에 대해 속성 기반 감성 분석(aspect-based sentiment analysis) 데이터셋을 반자동적으로 구축할 수 있는 방법론에 대한 연구를 수행하였다. 구축 시에는 속성기반 감성분석 주석 요소 중 극성, 속성 카테고리 정보를 부착하였으며, 미세조정과 비지도 학습 기법인 BERTopic을 통해 주석 요소를 자동적으로 부착하는 한편 이를 수동으로 검수하여 데이터셋의 완성도를 높이고자 하였다. 데이터셋에 대한 실험 결과, 극성 반자동 주석의 경우 기존에 구축된 데이터셋과 비슷한 수준의 성능을 보였다. 한편 정성적 분석을 통해 자동 구축을 동일하게 수행하였더라도 기술의 원리와 발달 정도에 따라 결과가 상이하게 달라짐을 관찰함으로써 경제 도메인의 ABSA 데이터셋 구축에 여전히 발전 여지가 있음을 확인할 수 있었다.

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Japan's Economic Performance "Lost Decade": Myth, Reality, or Role Model?

  • Anderson, Richard G.
    • The Journal of Asian Finance, Economics and Business
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    • v.3 no.1
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    • pp.15-32
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    • 2016
  • Between 2010 and 2012, former Bank of Japan Governor Shirakawa argued, in series of speeches, that Japan's economic performance, when compared to that of other G7 nations, was stronger after 1990 than appreciated by the critics. In May 2012, Nobel prize-winning economist and Princeton University professor Paul Krugman echoed a similar sentiment in a Financial Times interview. This analysis expands on these assertions and asks to what extent they are supported by cross-section data for the G7. As reviewed below, to date, no idiosyncratic explanation has arisen to explain the Japanese slowdown-perhaps this is the correct explanation: the slowdown in Japan, once adjusted for demographics, is less severe than in other G7 countries and, as recently noted by Eichengreen, Park, and Shin (2015), TFP growth in a number of other nations followed similar patterns. Focused on labor productivity, far from a laggard, Japan's performance ranks near the best in the G7.

The Effects of Job-Seeking Stress, Appearance Recognition, Financial Distress, Trust in Government, and Locus of Control on University Students' Happiness (취업스트레스, 외모인식, 재무스트레스, 정부신뢰도, 내외통제성이 대학생의 행복에 미치는 영향)

  • Kim, Min-Koo;Lee, Gyoung-Gun;Lee, Suk-Yong;Chun, Jun-Ha;Han, Yong-Hee
    • Journal of Korean Society of Industrial and Systems Engineering
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    • v.40 no.4
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    • pp.171-182
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    • 2017
  • Most people seek a happy life and happiness positively affects sentiment, satisfaction with life, creativity, human relationship, business productivity, and even health and life extension. However, according to a survey in 2013, subjective happiness of adolescents (including university students) was very low compared to other age groups in Korea. Therefore this paper examined the effects of job-seeking stress, appearance recognition, financial situation, trust in government, and locus of control on university students' happiness using SEM (structural equation modeling). 207 university students in Seoul, Korea have been surveyed. At first, an initial experimental SEM model among these variables has been set up and reliability analysis has been conducted. Then multiple regression analyses on job-seeking stress and happiness as well as SEM analysis have been conducted. As a result of these analyses, the SEM model has been revised two times. The final SEM model passed the goodness-of-fit test (using RMR, GFI, NFI, CFI, and IFI indices). The final SEM model showed the followings. First, Higher job-seeking stress (especially sentimental part, rather than environment or action related parts) negatively affects happiness. Second, Trust in government also affects happiness both directly and indirectly. Third, Locus of control is affected both by trust in government and financial situation. Fourth, appearance recognition heavily affects job-seeking stress. In addition, appearance importance is higher than appearance interest, meaning that students who are not very interested in appearance usually recognize the importance of appearance. Finally, happiness is affected neither financial situation nor appearance recognition. Therefore, even either they are in a poor financial situation or not happy with their appearance, they can be happy if they have firm locus of control.