Financial Lexicon based Sentiment Prediction for Earnings Call Transcripts for Market Intelligence
- Title
- Financial Lexicon based Sentiment Prediction for Earnings Call Transcripts for Market Intelligence
- Creator
- Nagendra B.V.; Kumar Chandar S.; Simha J.B.; John Bazil J.A.
- Description
- Sentiment based stock price direction detection has been an exciting study in the field of finance which is drawing a lot of attention from the investor community. Sentiments are used to detect the changes in the stock price movements for the subsequent periods. Investor community uses these sentiments derived from news, celebrity speech and events to plan trading and investment strategies. Several studies have been done in the past with sentiments, but use of Earnings Call Transcripts (ECT) has not been explored for market intelligence hitherto. Standard dictionary based lexicons like Vader, AFINN and NRC have not performed well in finance as they are domain agnostic. There is a need to develop a financial lexicon based on the ECT corpora, which may provide a better lift over the standard lexicons. This study has observed that Vader has performed poorly as opposed to the newly developed financial lexicon. Machine learning based generative lexicon engine using Bayesian approach, which is termed as FNB Lex was developed in this research study to overcome the limitations of standard domain agnostic lexicons. The lexicon development was performed on quarterly Earning Call Transcripts (ECT) of sixteen IT companies spanning over ten years. The study also investigates the detection of inverse effect in stock price movements based on the sentiments of the previous period. Machine Learning (ML) models like Naive Bayes, FNB Lex, SVM and biLSTM were developed and their discriminatory powers were assessed. NB Lex provided much better lift in detecting the inverse effect as opposed to other models. 2024 IEEE.
- Source
- Proceedings - 2024 5th International Conference on Image Processing and Capsule Networks, ICIPCN 2024, pp. 595-603.
- Date
- 2024-01-01
- Publisher
- Institute of Electrical and Electronics Engineers Inc.
- Subject
- Classification; Earnings Call Transcripts (ECT); Inverse Effect; Lexicon; Sentiments; Stock Price
- Coverage
- Nagendra B.V., Christ University, Bengaluru, India; Kumar Chandar S., Christ University, Bengaluru, India; Simha J.B., REVA University, REVA Academy for Corporate Excellence, India; John Bazil J.A., Christ University, Bengaluru, India
- Rights
- Restricted Access
- Relation
- ISBN: 979-835036717-1
- Format
- Online
- Language
- English
- Type
- Conference paper
Collection
Citation
Nagendra B.V.; Kumar Chandar S.; Simha J.B.; John Bazil J.A., “Financial Lexicon based Sentiment Prediction for Earnings Call Transcripts for Market Intelligence,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/19189.