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

34 Pages Posted: 11 Nov 2017 Last revised: 26 Dec 2018

See all articles by David Ardia

David Ardia

HEC Montreal - Department of Decision Sciences

Keven Bluteau

University of Neuchatel, Institute of Financial Analysis, Students; Vrije Universiteit Brussel (VUB)

Samuel Borms

University of Neuchâtel - Institute of Financial Analysis; Vrije Universiteit Brussel (VUB)

Kris Boudt

Ghent University; Vrije Universiteit Brussel; Vrije Universiteit Amsterdam

Date Written: November 9, 2017

Abstract

We provide a hands-on introduction to optimized textual sentiment indexation using the R package sentometrics. Driven by the need to unlock the potential of textual data, sentiment analysis is increasingly used to capture its information value. 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 VIX index.

Keywords: 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 (November 9, 2017). 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

University of Neuchatel, Institute of Financial Analysis, Students ( email )

Pierre-a-Mazel,7
Neuchatel
Switzerland

Vrije Universiteit Brussel (VUB) ( email )

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

Samuel Borms (Contact Author)

University of Neuchâtel - Institute of Financial Analysis ( email )

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

Vrije Universiteit Brussel (VUB) ( 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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