Automatic Construction of Financial Sentiment Lexicons on Stock, Bond and Exchange

Abstract

In this paper, we propose a method of retrieving expressions and constructing financial sentiment lexicons on stock, bond and exchange. Retrieved phrases are distinctive words in each financial market and extensions of these words. For example, the sentiment of the word "increase" in the financial sentiment lexicons cannot be determined by merely looking at the word itself. However, we can determine sentiment by considering the relation between preceding and subsequent words, such as "increased consumption" and "increase in costs". In addition, it is necessary that the expression such as "cause inflation" determines appropriate sentiment on stock, bond and exchange. We acquire automatically these expressions, and we construct appropriate financial sentiment lexicons by stock, bond and exchange.