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BERT-based Financial Sentiment Index and LSTM-based Stock Return Predictability
On the other hand, by combining with the other two commonly-used methods when it comes to building the sentiment index in the financial literature, i. e., the option-implied and the market-implied approaches, we propose a more general and comprehensive framework for the financial sentiment analysis, and further provide convincing outcomes for the predictability of individual stock return by combining LSTM (with a feature of a nonlinear mapping).
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