Leveraging Latent Economic Concepts and Sentiments in the News for Market Prediction

Abstract

Most of the existing news-based market prediction techniques disregard conceptual and emotional relations in the news stream. In this work, we consider the conceptual relationship between news documents using contextualized latent concept modeling as well as leveraging news sentiment and technical indicators. We present our approach as an open-source RESTFul API. We build a corpus of financial news related to currency pairs in the Foreign Exchange and Cryptocurrencies markets. Next, we apply BERT-based embedding to generate word vectors, cluster the vectors to create latent economic concepts, and propose a document representation based on the distribution of words on these concepts as well as news sentiment. We use a recurrent convolutional neural network to jointly use BERT-based text representation and technical indicators embedding for market time series prediction. We further augment our model with technical indicators using another recurrent layer. The experimental results show the superiority of our method compared to the baselines. Our MarketNews dataset, news crawler, and MarketPredict APIs are available for public use.