TY - GEN
T1 - Trading strategies to exploit blog and news sentiment
AU - Zhang, Wenbin
AU - Skiena, Steven
PY - 2010
Y1 - 2010
N2 - We use quantitative media (blogs, and news as a comparison) data generated by a large-scale natural language processing (NLP) text analysis system to perform a comprehensive and comparative study on how company related news variables anticipates or reflects the company's stock trading volumes and financial returns. Building on our findings, we give a sentiment-based market-neutral trading strategy which gives consistently favorable returns with low volatility over a long period. Our results are significant in confirming the performance of general blog and news sentiment analysis methods over broad domains and sources. Moreover, several remarkable differences between news and blogs are also identified.
AB - We use quantitative media (blogs, and news as a comparison) data generated by a large-scale natural language processing (NLP) text analysis system to perform a comprehensive and comparative study on how company related news variables anticipates or reflects the company's stock trading volumes and financial returns. Building on our findings, we give a sentiment-based market-neutral trading strategy which gives consistently favorable returns with low volatility over a long period. Our results are significant in confirming the performance of general blog and news sentiment analysis methods over broad domains and sources. Moreover, several remarkable differences between news and blogs are also identified.
UR - https://www.scopus.com/pages/publications/80455157395
U2 - 10.1609/icwsm.v4i1.14075
DO - 10.1609/icwsm.v4i1.14075
M3 - Conference contribution
AN - SCOPUS:80455157395
SN - 9781577354451
T3 - ICWSM 2010 - Proceedings of the 4th International AAAI Conference on Weblogs and Social Media
SP - 375
EP - 378
BT - ICWSM 2010 - Proceedings of the 4th International AAAI Conference on Weblogs and Social Media
PB - AAAI Press
T2 - 4th International AAAI Conference on Weblogs and Social Media, ICWSM 2010
Y2 - 23 May 2010 through 26 May 2010
ER -