Forecasting stock market movements : a sentiment aware approach

• Main Author: Ζούδιαρης, Ανδρέας
• Other Authors: Zoudiaris, Andreas
• Language: English
• Published: 2021
• Subjects: Volatility; Realized volatility; Forecasting; Sentiment analysis; Natural language processing; Μεταβλητότητα; Πραγματοποιηθείσα μεταβλητότητα; Πρόβλεψη; Ανάλυση συναισθήματος; Επεξεργασία φυσικής γλώσσας

The aim of this thesis is to examine whether the integration of sentiment variables, ex tracted from Reuters, The Guardian and CNBC and quantified with the use of the NLP Sentiment Analysis tool VADER (Valence Aware Dictionary and sEntiment Reasoner), can enhance the forecasting performance of model...