The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment

Journal of Statistical Software, Forthcoming

40 Pages Posted: 11 Nov 2017 Last revised: 23 May 2020

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

HEC Montreal - Department of Decision Sciences; Ghent University - Department of Economics

Samuel Borms

University of Neuchâtel; Vrije Universiteit Brussel

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Date Written: January 16, 2020

Abstract

We provide a hands-on introduction to optimized textual sentiment indexation using the R package sentometrics. Textual sentiment analysis is increasingly used to unlock the potential information value of textual data. The sentometrics package implements an intuitive framework to efficiently compute sentiment scores of numerous texts, to aggregate the scores into multiple time series, and to use these time series to predict other variables. The workflow of the package is illustrated with a built-in corpus of news articles from two major U.S. journals to forecast the CBOE Volatility Index.

Keywords: Aggregation, Penalized Regression, Prediction, R, sentometrics, Textual Sentiment, Time Series

JEL Classification: C10, C32, C49, C52, C87, E37

Suggested Citation

Ardia, David and Bluteau, Keven and Borms, Samuel and Boudt, Kris, The R Package sentometrics to Compute, Aggregate and Predict with Textual Sentiment (January 16, 2020). Journal of Statistical Software, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3067734 or http://dx.doi.org/10.2139/ssrn.3067734

David Ardia

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Keven Bluteau

HEC Montreal - Department of Decision Sciences ( email )

3000 Côte-Sainte-Catherine Road
Montreal, QC H2S1L4
Canada

Ghent University - Department of Economics ( email )

Belgium

Samuel Borms (Contact Author)

University of Neuchâtel ( email )

1, A.-L. Breguet
Neuchâtel, CH-2000
Switzerland

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Kris Boudt

Ghent University ( email )

Sint-Pietersplein 5
Gent, 9000
Belgium

Vrije Universiteit Brussel ( email )

Pleinlaan 2
http://www.vub.ac.be/
Brussels, 1050
Belgium

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, ND North Holland 1081 HV
Netherlands

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