Financial investors make trades based on available information. Previous research has proved that microblogs are a useful source for supporting stock market decisions. However, the financial domain lacks specific sentiment lexicons that could be utilized to extract the sentiment from these microblogs. In this research, we investigate automatic approaches that can be used to build financial sentiment lexicons. We introduce weighted versions of the Pointwise Mutual Information approaches to build sentiment lexicons automatically. Furthermore, existing sentiment lexicons often neglect negation while building the sentiment lexicons. In this research, we also propose two methods (Negated Word and Flip Sentiment) to extend the sentiment building approaches to take into account negation when constructing a sentiment lexicon. We build the financial sentiment lexicons by leveraging 200,000 messages from StockTwits. We evaluate the constructed financial sentiment lexicons in two different sentiment classification tasks (unsupervised and supervised). In addition, the created financial sentiment lexicons are compared with each other and with other existing sentiment lexicons. The best performing financial sentiment lexicon is built by combining our Weighted Normalized Pointwise Mutual Information approach with the Negated Word approach. It outperforms all the other sentiment lexicons in the two sentiment classification tasks. In the unsupervised sentiment classification task, it has, on average, a balanced accuracy of 69.4%, and in the supervised setting, a balanced accuracy of 75.1%. Moreover, the various sentiment classification tasks confirm that the sentiment lexicons could be improved by taking into account negation while building the sentiment lexicons. The improvement could be made by using one of the proposed methods to incorporate negation in the sentiment lexicon construction process.
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We want to thank StockTwits for their help and for providing access to their back-up database.
© 2021, The Author(s).