1 Search Results for "Drury, Brett M."

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DOI: 10.4230/OASIcs.SLATE.2012.163
Predicting Market Direction from Direct Speech by Business Leaders

Authors: Brett M. Drury and José João Almeida

Published in: OASIcs, Volume 21, 1st Symposium on Languages, Applications and Technologies (2012)

Abstract
Direct quotations from business leaders can communicate to the wider public the latent state of their organization as well as the beliefs of the organization's leaders. Candid quotes from business leaders can have dramatic effects upon the share price of their organization. For example, Gerald Ratner in 1991 stated that his company's products were crap and consequently his company (Ratners) lost in excess of 500 million pounds in market value. Information in quotes from business leaders can be used to make an estimation of the organization's immediate future financial prospects and therefore can form part of a trading strategy. This paper describes a contextual classification strategy to label direct quotes from business leaders contained in news stories. The quotes are labelled as either: 1. positive, 2. negative or 3. neutral. A trading strategy aggregates the quote classifications to issue a buy, sell or hold instruction. The quote based trading strategy is evaluated against trading strategies which are based upon whole news story classification on the NASDAQ market index. The evaluation shows a clear advantage for the quote classification strategy over the competing strategies.
Cite as

Brett M. Drury and José João Almeida. Predicting Market Direction from Direct Speech by Business Leaders. In 1st Symposium on Languages, Applications and Technologies. Open Access Series in Informatics (OASIcs), Volume 21, pp. 163-172, Schloss Dagstuhl – Leibniz-Zentrum für Informatik (2012)

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@InProceedings{drury_et_al:OASIcs.SLATE.2012.163,
  author =	{Drury, Brett M. and Almeida, Jos\'{e} Jo\~{a}o},
  title =	{{Predicting Market Direction from Direct Speech by Business Leaders}},
  booktitle =	{1st Symposium on Languages, Applications and Technologies},
  pages =	{163--172},
  series =	{Open Access Series in Informatics (OASIcs)},
  ISBN =	{978-3-939897-40-8},
  ISSN =	{2190-6807},
  year =	{2012},
  volume =	{21},
  editor =	{Sim\~{o}es, Alberto and Queir\'{o}s, Ricardo and da Cruz, Daniela},
  publisher =	{Schloss Dagstuhl -- Leibniz-Zentrum f{\"u}r Informatik},
  address =	{Dagstuhl, Germany},
  URL =		{https://drops-dev.dagstuhl.de/entities/document/10.4230/OASIcs.SLATE.2012.163},
  URN =		{urn:nbn:de:0030-drops-35215},
  doi =		{10.4230/OASIcs.SLATE.2012.163},
  annote =	{Keywords: Sentiment, Direct Speech, Trading, Business, Markets}
}
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