Volatility Prediction using Financial Disclosures Sentiments with Word Embedding-based IR Models

Volatility prediction--an essential concept in financial markets--has recently been addressed using sentiment analysis methods. We investigate the sentiment of annual disclosures of companies in stock markets to forecast volatility. We specifically explore the use of recent Information Retrieval (IR) term weighting models that are effectively extended by related terms using word embeddings. In parallel to textual information, factual market data have been widely used as the mainstream approach to forecast market risk. We therefore study different fusion methods to combine text and market data resources. Our word embedding-based approach significantly outperforms state-of-the-art methods. In addition, we investigate the characteristics of the reports of the companies in different financial sectors

Credibility Adjusted Term Frequency: A Supervised Term Weighting Scheme for Sentiment Analysis and Text Classification

We provide a simple but novel supervised weighting scheme for adjusting term frequency in tf-idf for sentiment analysis and text classification. We compare our method to baseline weighting schemes and find that it outperforms them on multiple benchmarks. The method is robust and works well on both snippets and longer documents