How Much Does Stock Prediction Improve with Sentiment Analysis

Financial markets, such as the stock exchange, are known to be extremely volatile and sensitive to news published in the media. Using sentiment analysis, as opposed to using time series alone, should provide a better indication for the prospects of a given financial asset. In this work, the main goal is to quantify the benefit that can be obtained by adding sentiment analysis to predict the up or down movement of stock returns. The approach makes use of several different deep learning models, from vanilla models that rely on market indicators only, to recurrent networks that incorporate news sentiment as well. Surprisingly, the results suggest that the added benefit of sentiment analysis is diminute, and a more significant improvement can be obtained by using sophisticated models with advanced learning mechanisms such as attention.