Sentiment correlation in financial news networks and associated market movements

Enhancing Exchange-Traded Fund Price Predictions: Insights from Information-Theoretic Networks and Node Embeddings

This study presents a novel approach to predicting price fluctuations for U.S. sector index ETFs. By leveraging information-theoretic measures like mutual information and transfer entropy, we constructed threshold networks highlighting nonlinear dependencies between log returns and trading volume rate changes. We derived centrality measures and node embeddings from these networks, offering unique insights into the ETFs' dynamics. By integrating these features into gradient-boosting algorithm-based models, we significantly enhanced the predictive accuracy. Our approach offers improved forecast performance for U.S. sector index futures and adds a layer of explainability to the existing literature.

New drugs and stock market: a machine learning framework for predicting pharma market reaction to clinical trial announcements

Pharmaceutical companies operate in a strictly regulated and highly risky environment in which a single slip can lead to serious financial implications. Accordingly, the announcements of clinical trial results tend to determine the future course of events, hence being closely monitored by the public. Most works focus on retrospective analysis of announcement impact on company stock prices, bypassing the consideration of the problem in the predictive paradigm. In this work, we aim to close this gap by proposing a framework that allows predicting the numerical values of announcement-induced changes in stock prices. In fact, it is a problem of the impact prediction of the specific event on the corresponding time series. Our framework includes a BERT model for extracting the sentiment polarity of announcements, a Temporal Fusion Transformer for forecasting the expected return, a graph convolution network for capturing event relationships, and gradient boosting for predicting the price change. We operate with one of the biggest FDA (the Food and Drug Administration) datasets, consisting of 5436 clinical trial announcements from 681 companies for the years 2018-2022. During the study, we get several significant outcomes and domain-specific insights. Firstly, we obtain statistical evidence for the clinical result promulgation influence on the public pharma market value. Secondly, we witness inherently different patterns of responses to positive and negative announcements, reflected in a stronger and more pronounced reaction to negative clinical news. Thirdly, we discover two factors that play a crucial role in a predictive framework: (1) the drug portfolio size of the company, indicating the greater susceptibility to an announcement in the case of low diversification among drug products and (2) the announcement network effect, manifesting through an increase in predictive power when exploiting interdependencies of events belonging to the same company or nosology. Finally, we prove the viability of the forecast setting by getting ROC AUC scores predominantly greater than 0.7 for the classification of price change on historical data. We emphasize the transferability and generalizability of the developed framework on other datasets and domains but on the condition of the presence of two key entities: events and the associated time series.

Machine learning sentiment analysis, COVID-19 news and stock market reactions

The recent COVID-19 pandemic represents an unprecedented worldwide event to study the influence of related news on the financial markets, especially during the early stage of the pandemic when information on the new threat came rapidly and was complex for investors to process. In this paper, we investigate whether the flow of news on COVID-19 had an impact on forming market expectations. We analyze 203,886 online articles dealing with COVID-19 and published on three news platforms (MarketWatch.com, NYTimes.com, and Reuters.com) in the period from January to June 2020. Using machine learning techniques, we extract the news sentiment through a financial market-adapted BERT model that enables recognizing the context of each word in a given item. Our results show that there is a statistically significant and positive relationship between sentiment scores and S&P 500 market. Furthermore, we provide evidence that sentiment components and news categories on NYTimes.com were differently related to market returns.

The financial crash of 2020 and the retail trader’s boon: a correlation between sentiment and technical analysis

The American stock market passed a critical phase during 2020. The CBOE volatility index had spiked from a little over 20 to a little over 50 and returned flat to 16% year on year basis. This paper presents a novel model to measure the engagements of retailer trading through public perception and forced media messages. The markets have proved to be resilient on the expected returns in the long term however the short-term spot markets were unpredictable. Even though the Dow Jones fell from 29,100 points to 19,180 points the big investment banks made huge trading profits. Bank of America's trading revenue grew from $3.8 billion to $5.3 billion whereas the retailers went for the bankrupt companies such as Macy’s and Hertz. The paper discusses the prediction with help of neural networks and NLP models to analyze retailer’s favorite stocks and helps to predict their future expected returns of the stocks. The results of the research create a new key performance index for asset-level risk management using this correlation.

Exploring spatiotemporal changes in the multi-granularity emotions of people in the city: a case study of Nanchang, China

In the Internet age, emotions exist in cyberspace and geospatial space, and social media is the mapping from geospatial space to cyberspace. However, most previous studies pay less attention to the multidimensional and spatiotemporal characteristics of emotion. We obtained 211,526 Sina Weibo data with geographic locations and trained an emotion classification model by combining the Bidirectional Encoder Representation from Transformers (BERT) model and a convolutional neural network to calculate the emotional tendency of each Weibo. Then, the topic of the hot spots in Nanchang City was detected through a word shift graph, and the temporal and spatial change characteristics of the Weibo emotions were analyzed at the grid-scale. The results of our research show that Weibo's overall emotion tendencies are mainly positive. The spatial distribution of the urban emotions is extremely uneven, and the hot spots of a single emotion are mainly distributed around the city. In general, the intensity of the temporal and spatial changes in emotions in the cities is relatively high. Specifically, from day to night, the city exhibits a pattern of high in the east and low in the west. From working days to weekends, the model exhibits a low center and a four-week high. These results reveal the temporal and spatial distribution characteristics of the Weibo emotions in the city and provide auxiliary support for analyzing the happiness of residents in the city and guiding urban management and planning.