Sentiment spin: Attacking financial sentiment with GPT-3

In this study, we explore the susceptibility of financial sentiment analysis to adversarial attacks that manipulate financial texts. With the rise of AI readership in the financial sector, companies are adapting their language and disclosures to fit AI processing better, leading to concerns about the potential for manipulation. In the finance literature, keyword-based methods, such as dictionaries, are still widely used for financial sentiment analysis due to their perceived transparency. However, our research demonstrates the vulnerability of keyword-based approaches by successfully generating adversarial attacks using the sophisticated transformer model, GPT-3. With a success rate of nearly 99% for negative sentences in the Financial Phrase Bank, a widely used database for financial sentiment analysis, we highlight the importance of incorporating robust methods, such as context-aware approaches such as BERT, in financial sentiment analysis

Transforming Sentiment Analysis in the Financial Domain with ChatGPT

Financial sentiment analysis plays a crucial role in decoding market trends and guiding strategic trading decisions. Despite the deployment of advanced deep learning techniques and language models to refine sentiment analysis in finance, this study breaks new ground by investigating the potential of large language models, particularly ChatGPT 3.5, in financial sentiment analysis, with a strong emphasis on the foreign exchange market (forex). Employing a zero-shot prompting approach, we examine multiple ChatGPT prompts on a meticulously curated dataset of forex-related news headlines, measuring performance using metrics such as precision, recall, f1-score, and Mean Absolute Error (MAE) of the sentiment class. Additionally, we probe the correlation between predicted sentiment and market returns as an additional evaluation approach. ChatGPT, compared to FinBERT, a well-established sentiment analysis model for financial texts, exhibited approximately 35\% enhanced performance in sentiment classification and a 36\% higher correlation with market returns. By underlining the significance of prompt engineering, particularly in zero-shot contexts, this study spotlights ChatGPT's potential to substantially boost sentiment analysis in financial applications. By sharing the utilized dataset, our intention is to stimulate further research and advancements in the field of financial services.Comment: 10 pages, 8 figures, Preprint submitted to Machine Learning with Application

Improving Sentiment Analysis with Document-Level Semantic Relationships from Rhetoric Discourse Structures

Conventional sentiment analysis usually neglects semantic information between (sub-)clauses, as it merely implements so-called bag-of-words approaches, where the sentiment of individual words is aggregated independently of the document structure. Instead, we advance sentiment analysis by the use of rhetoric structure theory (RST), which provides a hierarchical representation of texts at document level. For this purpose, texts are split into elementary discourse units (EDU). These EDUs span a hierarchical structure in the form of a binary tree, where the branches are labeled according to their semantic discourse. Accordingly, this paper proposes a novel combination of weighting and grid search to aggregate sentiment scores from the RST tree, as well as feature engineering for machine learning. We apply our algorithms to the especially hard task of predicting stock returns subsequent to financial disclosures. As a result, machine learning improves the balanced accuracy by 8.6 percent compared to the baseline

BERT's sentiment score for portfolio optimization: a fine-tuned views in Black and Litterman model

In financial markets, sentiment analysis on natural language sentences can improve forecasting. Many investors rely on information extracted from newspapers or their feelings. Therefore, this information is expressed in their language. Sentiment analysis models classify sentences (or entire texts) with their polarity (positive, negative, or neutral) and derive a sentiment score. In this paper, we use this sentiment (polarity) score to improve the forecasting of stocks and use it as a new ‘‘view’’ in the Black and Litterman model. This score is related to various events (both positive and negative) that have affected some stocks. The sentences used to determine the scores are taken from articles published in Financial Times (an international financial newspaper). To improve the forecast using this average sentiment score, we use a Monte Carlo method to generate a series of possible paths for several trading hours after the article was published to discretize (or approximate) the Wiener measure, which is applied to the paths and returning an exact price as results. Finally, we use the price determined in this way to calculate a yield to be used as views in a new type of ‘‘dynamic’’ portfolio optimization, based on hourly prices. We compare the results by applying the views obtained, disregarding the sentiment and leaving the initial portfolio unchanged

Identifying Polarity in Financial Texts for Sentiment Analysis: A Corpus-based Approach

AbstractIn this paper we describe our methodology to integrate domain-specific sentiment analysis in a lexicon-based system initially designed for general language texts. Our approach to dealing with specialized domains is based on the idea of “plug-in” lexical resources which can be applied on demand. A simple 3-step model based on the weirdness ratio measure is proposed to extract candidate terms from specialized corpora, which are then matched against our existing general-language polarity database to obtain sentiment-bearing words whose polarity is domain-specific

Causality between Sentiment and Cryptocurrency Prices

This study investigates the relationship between narratives conveyed through microblogging platforms, namely Twitter, and the value of crypto assets. Our study provides a unique technique to build narratives about cryptocurrency by combining topic modelling of short texts with sentiment analysis. First, we used an unsupervised machine learning algorithm to discover the latent topics within the massive and noisy textual data from Twitter, and then we revealed 4-5 cryptocurrency-related narratives, including financial investment, technological advancement related to crypto, financial and political regulations, crypto assets, and media coverage. In a number of situations, we noticed a strong link between our narratives and crypto prices. Our work connects the most recent innovation in economics, Narrative Economics, to a new area of study that combines topic modelling and sentiment analysis to relate consumer behaviour to narratives

Understanding Emojis for Financial Sentiment Analysis

Social media content has been widely used for financial forecasting and sentiment analysis. However, emojis as a new “lingua franca” on social media are often omitted during standard data pre-processing processes, we thus speculate that they may carry additional useful information. In this research, we study the effect of emojis in facilitating financial sentiment analysis and explore the most effective way to handle them during model training. Experiments are conducted on two datasets from stock and crypto markets. Various machine learning models, deep learning models, and the state-of-the-art GPT-based model are used, and we compare their performances across different emoji encodings. Results show a consistent increase in model performances when emojis are converted to their descriptive phrases, and significant enhancements after refining the descriptive terms of the most important emojis before fitting them into the models. Our research shows that emojis are a valuable source for better understanding financial social media texts that cannot be omitted