Abstract: In this paper, we describe a methodology to infer Bullish or Bearish sentiment towards companies/brands. More specifically, our approach leverages affective lexica and word embeddings in combination with convolutional neural networks to infer the sentiment of financial news headlines towards a target company. Such architecture was used and evaluated in the context of the SemEval 2017 challenge (task 5, subtask 2), in which it obtained the best performance.

Introduction: Real time information is key for decision making in highly technical domains such as finance. The explosive growth of financial technology industry (Fintech) continued in 2016, partially due to the current interest in the market for Artificial Intelligence-based technologies. Opinion-rich texts such as micro-blogging and news can have an important impact in the financial sector (e.g. raise or fall in stock value) or in the overall economy (e.g. the Greek public debt crisis). In such a context, having granular access to the opinions of an important part of the population is of key importance to any public and private actor in the field. In order to take advantage of this raw data, it is thus needed to develop machine learning methods allowing to convert unstructured text into information that can be managed and exploited. In this paper, we address the sentiment analysis problem applied to financial headlines, where the goal is, for a given news headline and target company, to infer its polarity score i.e. how positive (or negative) the sentence is with respect to the target company. Previous research BIBREF0 has highlighted the association between news items and market fluctiations; hence, in the financial domain, sentiment analysis can be used as a proxy for bullish (i.e. positive, upwards trend) or bearish (i.e. negative, downwards trend) attitude towards a specific financial actor, allowing to identify and monitor in real-time the sentiment associated with e.g. stocks or brands. Our contribution leverages pre-trained word embeddings (GloVe, trained on wikipedia+gigaword corpus), the DepecheMood affective lexicon, and convolutional neural networks.

Question: how was the dataset built?
Answer: Questions are gathered from anonymized, aggregated queries to the Google search engine. Queries that are likely to be yes/no questions are heuristically identified: we found selecting queries where the first word is in a manually constructed set of indicator words and are of sufficient length, to be effective. Questions are only kept if a Wikipedia page is returned as one of the first five results, in which case the question and Wikipedia page are given to a human annotator for further processing. Annotators label question/article pairs in a three-step process. First, they decide if the question is good, meaning it is comprehensible, unambiguous, and requesting factual information. This judgment is made before the annotator sees the Wikipedia page. Next, for good questions, annotators find a passage within the document that contains enough information to answer the question. Annotators can mark questions as “not answerable" if the Wikipedia article does not contain the requested information. Finally, annotators mark whether the question's answer is “yes" or “no"