In this paper we describe an application of machine learning algorithms to the problem of intraday forecasting of a large stock index (EUROSTOXX 50), where we use aggregated high-frequency sentiment in news about equities in the index as the main predictor. We utilize an ingenious combination of...

We present the sector-based news sentiment indices, which track, for a given industry or sector, the current media sentiment about this sector. The sentiment index for a particular sector has a natural relationship to the basket of stocks of publicly traded companies operating in this sector or...

This paper investigates how stock-specific and market-wide news sentiments, obtained from Thomson Reuters News Analytics, affect abnormal returns of S&P 500 stocks. It is well-known that the relationships between the stock-specific news sentiment and raw stock returns are rather weak. This can...