High-frequency news sentiment and its application to forex market prediction

Research output: Chapter in Book/Report/Conference proceedingPaper in conference proceeding

Abstract

Financial news has been identified as an important alternative information source for modeling market dynamics in recent years. While most of the attention goes to stock markets, the foreign exchange (Forex) market, in contrast, is much less studied. Most of the existing text mining research for the Forex market combine news sentiment with other text features, making the contribution of each factor unclear. To this end, we want to study the role of news sentiment exclusively. In particular, we propose a FinBERT-based model to extract high-frequency news sentiment as a 4-dimensional time series. We examine the efficacy of this news sentiment for Forex market prediction without involving any other semantic feature. Experiments show that our model outperforms alternative sentiment analysis approaches and confirm that news sentiment alone may have predictive power for Forex price movements. The sentiment analysis method seems to have a big potential to improve despite that the current predictive power is still weak. The results deepen our understanding of financial text processing systems.

Details

Authors
Organisations
External organisations
  • Nanyang Technological University
Research areas and keywords

Subject classification (UKÄ) – MANDATORY

  • Economics and Business
Original languageEnglish
Title of host publicationProceedings of the 54th Annual Hawaii International Conference on System Sciences, HICSS 2021
EditorsTung X. Bui
PublisherIEEE Computer Society
Pages1583-1592
Number of pages10
ISBN (Electronic)9780998133140
Publication statusPublished - 2021
Publication categoryResearch
Peer-reviewedYes
Event54th Annual Hawaii International Conference on System Sciences, HICSS 2021 - Virtual, Online
Duration: 2021 Jan 42021 Jan 8

Publication series

NameProceedings of the Annual Hawaii International Conference on System Sciences
Volume2020-January
ISSN (Print)1530-1605

Conference

Conference54th Annual Hawaii International Conference on System Sciences, HICSS 2021
CityVirtual, Online
Period2021/01/042021/01/08