Predicting Financial Market Trends using Time Series Analysis and Natural Language Processing
A 2023 paper by Asgarov on machine learning return prediction in equities, using a recurrent neural network: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Our findings indicate that positivity, negativity, and subjectivity are the primary determinants of fluctuations in stock prices.”
AssetEquities
StrategyMachine learningnews sentiment
TechniqueRecurrent neural networkfeedforward network
Long/shortLong-short
Also stated: Text and news
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodMachine learning return prediction by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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