Analysis and Prediction About the Relationship of Foreign Exchange Market Sentiment and Exchange Rate Trend
This paper aims at finding the relationship between the market sentiment and the market trend in the foreign exchange market, and predicting the future trend of the market in a specific time period. We analyze the market sentiment through the broadcast ne
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upervised machine learning Sentiment analysis
1 Introduction The foreign exchange (FOREX) market is the biggest market in the world. Since its transaction volume is huge, the impact of the trading parties’ funding operation on the changes of FOREX rate is very limited [1]. Instead, the economic fundamentals usually have a big impact on the market [2, 4]. The economic fundamentals include the important data published by governments (such as GDP, the interest rates of Central Bank), the speech of senior government officials, the information published by the international organizations (such as the Central Bank of EU), and so on [3]. Therefore, as for the investors, the analysis of the economic fundamentals plays an important role in the FOREX investment, through which the investors can determine the sentiment of the market, and decide the appropriate time to buy or sell the FOREX. There are many studies focus on analyzing how the market sentiment influence on the FOREX investment, and the methods vary from the traditional financial quantitative analysis [4, 5] to emerging machine learning methods [6–8]. In addition, apart from the financial statistics, some studies begin to analyze the raw text information in the financial news to explore the market sentiment and analyze its influence [8]. In this paper, we build a Naïve Byes model to analyze the market sentiment of the USDOLLAR, and link the sentiment analysis model with the actual upward or downward movements of the currency to verify the relationship of market sentiment and FOREX trend. Then we build the FOREX prediction model to predict the market movement in one week, and help the investors to make investment decisions. © Springer Nature Switzerland AG 2019 K. Arai et al. (Eds.): FICC 2018, AISC 887, pp. 744–749, 2019. https://doi.org/10.1007/978-3-030-03405-4_54
Analysis and Prediction About the Relationship of FOREX Market
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The rest of this paper is organized as follows. Section 2 reviews the relative works on the sentiment analysis and prediction of the FOREX market. Section 3 presents the sentiment analysis and prediction model and shows its performance. Section 4 shows the results of our model. Section 5 draws conclusion.
2 Literature Review Market sentiment is one of the most important indicators in the financial investment field, thus measuring the sentiment of the market explicitly and discovering the relationship between the market sentiments will be of great help for investors to make investment decisions. Many approaches have been adapted to discriminate the market sentiment and predict the market trend. In [9] author analyzes the relationship between media sentiment and asset mispricing, and found that the relationship is very strong. In [10] author gives a systematic review about the application of text mining for market prediction, and many machine learning algorithms are found to be powerful in dealing with the massive and unstructured text information. In [11], author proposes a prediction model in the FOREX market based on the text of breakin
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