A thesis in fulfilment of the requirements for the degree of Doctor of Philosophy NEWS SENTIMENT IMPACT ANALYSIS (NSIA) FRAMEWORK Islam Khalid Yousif AL-QUDAH School of Computer Science and Engineering Faculty of Engineering January 2018 i Surname or Family name: AL-QUDAH First name: Islam Other name/s: Khalid Yousif Abbreviation for degree as given in the University calendar: PhD School: School of Computer Science and Faculty: Faculty of Engineering Engineering Title: News Sentiment Impact Analysis (NSIA) Framework Abstract 350 words maximum: The huge increase in online content has rapidly stepped up the challenges facing various entities such as organisations, businesses, governments. Dealing with this immense increase in information is beyond any human ability, as it requires massive efforts to go through huge volumes of posts/news to analyse and understand their content. In responding to this challenge, research has picked up in recent years to automatically analyse, and extract opinions/sentiment from online content. This thesis investigated the area of sentiment analysis and its impact on financial market entities. The thesis includes a review of the sentiment analysis processes, , an overview of sentiment analysis studies and their application to the financial markets domain. The literature shows a gap in defining systematic and reusable evaluation processes, for users to automatically conduct impact analysis of sentiment datasets in different financial contexts. In addressing the research gap the thesis proposes a framework called News Sentiment Impact Analysis (NSIA) which consists of three components which are a conceptual data model, a software architecture, and a set of use cases. The key component which is the conceptual data model captures three sets of parameters: the financial context parameters, the sentiment related parameters, and the impact measure parameters. The CPD model is supported by a software architecture, which consists of a GUI, Business, and Data layers. The main use case allows the analyst to define the CPD parameters using the provided GUI layer and trigger the impact analysis process. To evaluate the proposed framework, a prototype is implemented. Three case studies have been conducted to evaluate the different aspects of the proposed framework. ii The case studies results show that the proposed NSIA framework meets the research objectives and demonstrate the flexibility of the proposed NSIA framework for conducting impact analysis in various contexts, using different sentiment extractions techniques, and various impact measures. The results also show that the framework is able to support a systematic methodology that enables reproducibility and consistency in conducting impact analysis studies. Moreover, the evaluation was conducted using the framework's architecture and prototype which enables automation of the impact analysis studies, and eliminates the possibility of human errors. iii ORIGINALITY STATEMENT ‘I hereby declare that this submission is my own work and to the best of my knowledge it contains no materials previously published or written by another person, or substantial proportions of material which have been accepted for the award of any other degree or diploma at UNSW or any other educational institution, except where due acknowledgement is made in the thesis. Any contribution made to the research by others, with whom I have worked at UNSW or elsewhere, is explicitly acknowledged in the thesis. I also declare that the intellectual content of this thesis is the product of my own work, except to the extent that assistance from others in the project's design and conception or in style, presentation and linguistic expression is acknowledged.’ Signed …………………………………………….............. Date …………………………………………….............. COPYRIGHT STATEMENT ‘I hereby grant the University of New South Wales or its agents the right to archive and to make available my thesis or dissertation in whole or part in the University libraries in all forms of media, now or here after known, subject to the provisions of the Copyright Act 1968. I retain all proprietary rights, such as patent rights. I also retain the right to use in future works (such as articles or books) all or part of this thesis or dissertation. I also authorise University Microfilms to use the 350 word abstract of my thesis in Dissertation Abstract International (this is applicable to doctoral theses only). I have either used no substantial portions of copyright material in my thesis or I have obtained permission to use copyright material; where permission has not been granted I have applied/will apply for a partial restriction of the digital copy of my thesis or dissertation.' Signed ……………………………………………........................... Date ……………………………………………........................... AUTHENTICITY STATEMENT ‘I certify that the Library deposit digital copy is a direct equivalent of the final officially approved version of my thesis. No emendation of content has occurred and if there are any minor variations in formatting, they are the result of the conversion to digital format.’ Signed ……………………………………………........................... Date ……………………………………………........................... CONTENTS ABSTRACT ................................................................................................................... IX ACKNOWLEDGMENTS ............................................................................................. X LIST OF PUBLICATIONS ......................................................................................... XI LIST OF FIGURES .................................................................................................... XII LIST OF TABLES ..................................................................................................... XIV LIST OF ABBREVIATIONS ................................................................................... XVI 1 INTRODUCTION................................................................................................... 1 1.1 BACKGROUND .................................................................................................... 1 1.2 APPLYING SENTIMENT ANALYSIS TO THE FINANCIAL MARKETS DOMAIN............ 2 1.3 PROBLEM STATEMENT AND THESIS OBJECTIVES ................................................. 3 1.4 THESIS STRUCTURE ............................................................................................ 3 2 LITERATURE REVIEW ...................................................................................... 5 2.1 TYPES AND SOURCES OF TEXT CORPUS ............................................................... 5 2.2 SENTIMENT ANALYSIS PROCESSES ..................................................................... 6 2.2.1 Acquire Text Corpus (ATC) ............................................................................................... 7 2.2.2 Text Pre-Processing (TPP) ................................................................................................ 8 2.2.3 Calculate Sentiment Metrics (CSM) ................................................................................ 10 2.2.4 News analytics datasets ................................................................................................... 12 2.2.5 Sentiment analysis accuracy metrics ............................................................................... 13 2.3 OVERVIEW OF FINANCIAL MARKETS ................................................................ 14 2.3.1 Financial markets definitions .......................................................................................... 14 2.3.2 Financial markets data .................................................................................................... 15 2.3.3 Market measures .............................................................................................................. 16 2.4 SENTIMENT ANALYSIS IN FINANCE RESEARCH .................................................. 17 2.4.1 Sentiment analysis techniques used in finance studies .................................................... 18 v 2.4.2 Techniques used to evaluate impact ................................................................................ 23 2.4.3 Discussion ........................................................................................................................ 30 2.5 CONCLUSION .................................................................................................... 31 3 RESEARCH METHODOLOGY ........................................................................ 33 3.1 RESEARCH PROBLEM ........................................................................................ 33 3.2 RESEARCH QUESTIONS ..................................................................................... 33 3.3 RESEARCH APPROACH ...................................................................................... 34 3.4 RESEARCH PROCESS ......................................................................................... 34 3.5 CONCLUSION .................................................................................................... 36 4 NSIA FRAMEWORK .......................................................................................... 37 4.1 OVERVIEW OF THE NSIA FRAMEWORK ............................................................ 37 4.2 NSIA DATA MODEL .......................................................................................... 38 4.2.1 Market Data (MD) model ...............................................................................................