Christodoulaki, Eva and Kampouridis, Michail and Kanellopoulos, Panagiotis (2022) Technical and Sentiment Analysis in Financial Forecasting with Genetic Programming. In: IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr), 2022-05-04 - 2022-05-05, Helsinki, Finland/Online. (In Press)

Preview

Text Technical_and_Sentiment_Analysis_in_Financial_Forecasting_with_Genetic_Programming.pdf - Accepted Version Download (206kB) | Preview

Abstract

Financial Forecasting is a popular and thriving research area that relies on indicators derived from technical and sentiment analysis. In this paper, we investigate the advantages that sentiment analysis indicators provide, by comparing their performance to that of technical indicators, when both are used individually as features into a genetic programming algorithm focusing on the maximization of the Sharpe ratio. Moreover, while previous sentiment analysis research has focused mostly on the titles of articles, in this paper we use the text of the articles and their summaries. Our goal is to explore further on all possible sentiment features and identify which features contribute the most. We perform experiments on 26 different datasets and show that sentiment analysis produces better, and statistically significant, average results than technical analysis in terms of Sharpe ratio and risk.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	Published proceedings: _not provided_
Uncontrolled Keywords:	Technical Analysis; Sentiment Analysis; Genetic Programming; Financial Forecasting
Divisions:	Faculty of Science and Health Faculty of Science and Health > Computer Science and Electronic Engineering, School of
SWORD Depositor:	Elements
Depositing User:	Elements
Date Deposited:	02 Feb 2022 15:31
Last Modified:	16 Jul 2022 00:29
URI:	http://repository.essex.ac.uk/id/eprint/32191

Actions (login required)

View Item