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Handbook of Sentiment Analysis in Finance (2016)


Editors: Gautam Mitra and Xiang Yu


Release Date: May 2016


Available in Hardback and as an E-Book


Price: £80.00 +(P&P)

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
  • 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..]
Part I - TEXT ANALYTICS AND SENTIMENT CLASSIFICATION
Ch.2: Compositional Sentiment Analysis

Stephen 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..]
Ch. 3: Document Sentiment Classification

Bing Liu (Professor, Department of Computer Science, University of Illinois at Chicago)

Ch. 4: Sentence Subjectivity and Sentiment Classification

Bing Liu (Professor, Department of Computer Science, University of Illinois at Chicago)

Part II – ONLINE SEARCH AND SOCIAL MEDIA SOURCES
Ch. 5: Twitter Sentiment Analysis: Lexicon Method, Machine Learning Method and Their Combination

Olga 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..]
Ch. 6: Sentiment Analysis in Microblogs

Federico 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..]
Ch. 7: Quantifying Wikipedia Usage Patterns before Stock Market Moves

Helen 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..]
Ch. 8: Investor Attention and the Pricing of Earnings News

Asher 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..]
PART III – SENTIMENT ANALYSIS APPLIED TO EQUITIES
Ch. 9: Predicting Stock Returns using Text Mining Tools

Gurvinder 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..]
Ch. 10: Sentiment and Investor Behaviour

Elijah 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..]
Ch. 11: Thematic Alpha Streams Improve Performance of Equity Portfolios

Peter Hafez (Chief Data Scientist,, RavenPack)

Abstract:In this paper, we propose a robust methodology for equity portfolio construction using news-based thematic alphas. ...[..MORE..]
Ch. 12: The Psychology of Markets: Information processing and the impact on asset prices

Richard 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..]
Ch. 13: An Impact Measure for News: its use in (daily) trading strategies

Gautam 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..]
Ch. 14: The Unbearable Lightness of Expectations of the Chinese Investor

Eric 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 Fed's perpetual decision to raise rates has been indirect but substantial. ...[..MORE..]
PART IV – SENTIMENT ANALYSIS FOR OTHER ASSET CLASSES: ENERGY, COMMODITIES, GREEN COMMODITIES, BONDS, AND FX
Ch. 15: The Role of News in Commodity Markets

Svetlana 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..]
Ch. 16: Predicting Global Economic Activity with Media Analytics

Richard 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..]
Ch. 17: Credit Risk Assessment of Corporate Debt using Sentiment and News

Dan 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..]
Ch. 18: Trading Bond Futures (& FX) with News Meta Data

Saeed 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..]
Ch. 19: Currency Sentiment Analysis

Richard 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..]
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 Options

Nitish 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..]
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..]
Ch. 22: Automated Analysis of News to Compute Market Sentiment: Its Impact on Liquidity and Trading

Gautam 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..]
PART VI – APPLICATIONS OF SENTIMENT ANALYSIS: CASE STUDIES
Ch. 23: Twitter Sentiment Analysis Applied to Finance: A Case Study in the Retail Industry

Tha´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..]
Ch. 24: Financial Prediction from Heterogenous Streams of Online Lead Indicators

Abby 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..]
PART VII – Directory of Service Providers
  • Alexandria
  • Amareos
  • Bloomberg
  • Deltix
  • iMaibo
  • Lamplight Analytics
  • MarketPsych
  • Northfields
  • OptiRisk Systems
  • Psychsignal
  • RavenPack
  • Stocktwits
  • Thomson Reuters


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