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This paper discusses the approach taken by the UWaterloo team to arrive at a solution for the Fine-Grained Sentiment Analysis problem posed by Task 5 of SemEval 2017. The paper describes the document vectorization and sentiment score…
The aim of this study was to develop methods for evaluating the American-style option prices when the volatility of the underlying asset is described by a stochastic process. As part of this problem were developed techniques for modeling…
This study uses sentiment analysis and the Moral Foundations Theory (MFT) to characterise news content in social media and examine its association with user engagement. We employ Natural Language Processing to quantify the moral and…
Aspect-based sentiment analysis predicts sentiment polarity with fine granularity. While graph convolutional networks (GCNs) are widely utilized for sentimental feature extraction, their naive application for syntactic feature extraction…
In this paper, we develop econometric tools to analyze the integrated volatility of the efficient price and the dynamic properties of microstructure noise in high-frequency data under general dependent noise. We first develop consistent…
This research develops a sentiment-driven quantitative trading system that leverages a large language model, FinGPT, for sentiment analysis, and explores a novel method for signal integration using a reinforcement learning algorithm, Twin…
As machine learning ascends the peak of computer science zeitgeist, the usage and experimentation with sentiment analysis using various forms of textual data seems pervasive. The effect is especially pronounced in formulating securities…
Predicting future values at risk (fVaR) is an important problem in finance. They arise in the modelling of future initial margin requirements for counterparty credit risk and future market risk VaR. One is also interested in derived…
Connectedness measures the degree at which a time-series variable spills over volatility to other variables compared to the rate that it is receiving. The idea is based on the percentage of variance decomposition from one variable to the…
Sentiment analysis is a domain of study that focuses on identifying and classifying the ideas expressed in the form of text into positive, negative and neutral polarities. Feature selection is a crucial process in machine learning. In this…
Multimodal sentiment analysis remains a challenging task due to the inherent heterogeneity across modalities. Such heterogeneity often manifests as asynchronous signals, imbalanced information between modalities, and interference from…
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential L\'evy models. This…
This study investigates the relationship between the market volatility of the iShares Asia 50 ETF (AIA) and economic and market sentiment indicators from the United States, China, and globally during periods of economic uncertainty.…
Volatility smile and skewness are two key properties of option prices that are represented by the implied volatility (IV) surface. However, IV surface calibration through nonlinear interpolation is a complex problem due to several factors,…
Deep directed generative models have attracted much attention recently due to their expressive representation power and the ability of ancestral sampling. One major difficulty of learning directed models with many latent variables is the…
Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
The integration of information across multiple modalities and across time is a promising way to enhance the emotion recognition performance of affective systems. Much previous work has focused on instantaneous emotion recognition. The 2018…
Emotion prediction is a key emerging research area that focuses on identifying and forecasting the emotional state of a human from multiple modalities. Among other data sources, physiological data can serve as an indicator for emotions with…
The objective of Aspect Based Sentiment Analysis is to capture the sentiment of reviewers associated with different aspects. However, complexity of the review sentences, presence of double negation and specific usage of words found in…
This study proposes a novel portfolio optimization framework that integrates statistical social network analysis with time series forecasting and risk management. Using daily stock data from the S&P 500 (2020-2024), we construct dependency…