10.4230/OASICS.SLATE.2012.163
Drury, Brett M.
Brett M.
Drury
Almeida, José João
José João
Almeida
Predicting Market Direction from Direct Speech by Business Leaders
Schloss Dagstuhl – Leibniz-Zentrum für Informatik
2012
Article
Sentiment
Direct Speech
Trading
Business
Markets
Simões, Alberto
Alberto
Simões
Queirós, Ricardo
Ricardo
Queirós
da Cruz, Daniela
Daniela
da Cruz
2012
2012-06-21
2012-06-21
2012-06-21
en
urn:nbn:de:0030-drops-35215
10.4230/OASIcs.SLATE.2012
978-3-939897-40-8
2190-6807
10.4230/OASIcs.SLATE.2012
OASIcs, Volume 21, SLATE 2012
1st Symposium on Languages, Applications and Technologies
2012
21
13
163
172
Schloss Dagstuhl – Leibniz-Zentrum für Informatik
Simões, Alberto
Alberto
Simões
Queirós, Ricardo
Ricardo
Queirós
da Cruz, Daniela
Daniela
da Cruz
2190-6807
Open Access Series in Informatics (OASIcs)
2012
21
Schloss Dagstuhl – Leibniz-Zentrum für Informatik
10 pages
346794 bytes
application/pdf
Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported license
info:eu-repo/semantics/openAccess
Direct quotations from business leaders can communicate to the wider public the latent state of their organization as well as the beliefs of the organization's leaders. Candid quotes from business leaders can have dramatic effects upon the share price of their organization. For example, Gerald Ratner in 1991 stated that his company's products were crap and consequently his company (Ratners) lost in excess of 500 million pounds in market value. Information in quotes from business leaders can be used to make an estimation of the organization's immediate future financial prospects and therefore can form part of a trading strategy. This paper describes a contextual classification strategy to label direct quotes from business leaders contained in news stories. The quotes are labelled as either: 1. positive, 2. negative or 3. neutral. A trading strategy aggregates the quote classifications to issue a buy, sell or hold instruction. The quote based trading strategy is evaluated against trading strategies which are based upon whole news story classification on the NASDAQ market index. The evaluation shows a clear advantage for the quote classification strategy over the competing strategies.
OASIcs, Vol. 21, 1st Symposium on Languages, Applications and Technologies, pages 163-172