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Trading Strategies to Exploit Blog and News Sentiment
Proceedings of the ... International AAAI Conference on Weblogs and Social Media
We use quantitative media (blogs, and news as a comparison) data generated by a large-scale natural language processing (NLP) text analysis system to perform a comprehensive and comparative study on how company related news variables anticipates or reflects the company's stock trading volumes and financial returns. Building on our findings, we give a sentiment-based market-neutral trading strategy which gives consistently favorable returns with low volatility over a long period. Our results aredoi:10.1609/icwsm.v4i1.14075 fatcat:aaeicidfhjcs3g6z2rafcdpbpi