When forecasting financial time series, incorporating relevant sentiment analysis data into the feature space is a common assumption to increase the capacities of the model. In addition, deep learning architectures and state-of-the-art schemes are increasingly used due to their efficiency. This work compares state-of-the-art methods in financial time series forecasting incorporating sentiment analysis. Through an extensive experimental process, 67 different feature setups consisting of stock closing prices and sentiment scores were tested on a variety of different datasets and metrics. In total, 30 state-of-the-art algorithmic schemes were used over two case studies: one comparing methods and one comparing input feature setups. The aggregated results indicate, on the one hand, the prevalence of a proposed method and, on the other, a conditional improvement in model efficiency after the incorporation of sentiment setups in certain forecast time frames.

Sentiment Analysis, also known as Opinion Mining, gained prominence in the early 2000s alongside the emergence of internet forums, blogs, and social media platforms. Researchers and businesses recognized the imperative to automate the extraction of valuable insights from the vast pool of textual data generated online. Its utility in the business domain is undeniable, offering actionable insights into customer opinions and attitudes, empowering data-driven decisions that enhance products, services, and customer satisfaction. The expansion of Sentiment Analysis into the financial sector came as a direct consequence, prompting the adaptation of powerful Natural Language Processing models to these contexts. In this study, we rigorously test numerous classical Machine Learning classification algorithms and ensembles against five contemporary Deep Learning Pre-Trained models, like BERT, RoBERTa, and three variants of FinBERT. However, its aim extends beyond evaluating the performance of modern methods, especially those designed for financial tasks, to a comparison of them with classical ones. We also explore how different text representation and data augmentation techniques impact classification outcomes when classical methods are employed. The study yields a wealth of intriguing results, which are thoroughly discussed.

In practice, time series forecasting involves the creation of models that generalize data from past values and produce future predictions. Moreover, regarding financial time series forecasting, it can be assumed that the procedure involves phenomena partly shaped by the social environment. Thus, the present work is concerned with the study of the use of sentiment analysis methods in data extracted from social networks and their utilization in multivariate prediction architectures that involve financial data. Through an extensive experimental process, 22 different input setups using such extracted information were tested, over a total of 16 different datasets, under the schemes of 27 different algorithms. The comparisons were structured under two case studies. The first concerns possible improvements in the performance of the forecasts in light of the use of sentiment analysis systems in time series forecasting. The second, having as a framework all the possible versions of the above configuration, concerns the selection of the methods that perform best. The results, as presented by various illustrations, indicate, on the one hand, the conditional improvement of predictability after the use of specific sentiment setups in long-term forecasts and, on the other, a universal predominance of long short-term memory architectures.

In the contemporary context, both production and consumption of energy, being concepts intertwined through a condition of synchronicity, are pivotal for the orderly functioning of society, with their management being a building block in maintaining regularity. Hence, the pursuit to develop reliable computational tools for modeling such serial and time-dependent phenomena becomes similarly crucial. This paper investigates the use of ensemble learners for medium-term forecasting of the Greek energy system load using additional information from injected energy production from various sources. Through an extensive experimental process, over 435 regression schemes and 64 different modifications of the feature inputs were tested over five different prediction time frames, creating comparative rankings regarding two case studies: one related to methods and the other to feature setups. Evaluations according to six widely used metrics indicate an aggregate but clear dominance of a specific efficient and low-cost ensemble layout. In particular, an ensemble method that incorporates the orthogonal matching pursuit together with the Huber regressor according to an averaged combinatorial scheme is proposed. Moreover, it is shown that the use of multivariate setups improves the derived predictions.

The use of deep learning in conjunction with models that extract emotion-related information from texts to predict financial time series is based on the assumption that what is said about a stock is correlated with the way that stock fluctuates. Given the above, in this work, a multivariate forecasting methodology incorporating temporal convolutional networks in combination with a BERT-based multi-label emotion classification procedure and correlation feature selection is proposed. The results from an extensive set of experiments, which included predictions of three different time frames and various multivariate ensemble schemes that capture 28 different types of emotion-relative information, are presented. It is shown that the proposed methodology exhibits universal predominance regarding aggregate performance over six different metrics, outperforming all the compared schemes, including a multitude of individual and ensemble methods, both in terms of aggregate average scores and Friedman rankings. Moreover, the results strongly indicate that the use of emotion-related features has beneficial effects on the derived forecasts.