Automatic construction of direction-aware sentiment lexicon using direction-dependent words

Abstract

Explainability, which is the degree to which an interested stakeholder can understand the key factors that led to a data-driven model’s decision, has been considered an essential consideration in the financial domain. Accordingly, lexicons that can achieve reasonable performance and provide clear explanations to users have been among the most popular resources in sentiment-based financial forecasting. Since deep learning-based techniques have limitations in that the basis for interpreting the results is unclear, lexicons have consistently attracted the community’s attention as a crucial tool in studies that demand explanations for the sentiment estimation process. One of the challenges in the construction of a financial sentiment lexicon is the domain-specific feature that the sentiment orientation of a word can change depending on the application of directional expressions. For instance, the word “cost” typically conveys a negative sentiment; however, when the word is juxtaposed with “decrease” to form the phrase “cost decrease,” the associated sentiment is positive. Several studies have manually built lexicons containing directional expressions. However, they have been hindered because manual inspection inevitably requires intensive human labor and time. In this study, we propose to automatically construct the “sentiment lexicon composed of direction-dependent words,” which expresses each term as a pair consisting of a directional word and a direction-dependent word. Experimental results show that the proposed sentiment lexicon yields enhanced classification performance, proving the effectiveness of our method for the automated construction of a direction-aware sentiment lexicon.