University of Twente Student Theses
The Influence of News Sentiment on Stock Price Ratio Movement and its Utilisation for Pairs Trading Strategies
Lee, William F.D. (2025) The Influence of News Sentiment on Stock Price Ratio Movement and its Utilisation for Pairs Trading Strategies.
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| Abstract: | This study investigated the predictive relationship between sentiment extracted from Google News headlines and the stock price ratios of highly correlated stocks. The aim of the study was to find ways to harness sentiment information to increase the profits of pairs trading strategies. Little research has been conducted on the utilisation of sentiment analysis for pairs trading, and little consensus was found on the temporal nature of the effects of sentiment on stock price or stock price ratio movement; particularly regarding the optimal time periods to sample sentiment, how long the lag between sentiment and effect on close price (or ratio) is, and how long the effect lasts. Furthermore, although many studies confirm that the LSTM models augmented with sentiment can accurately predict stock prices, neither the prediction of the stock price ratio or the subsequent application to pairs trading has seen any attention in the literature. Thus, this study investigated the temporal properties of the relationship between sentiment and stock price movement, and trialled three novel pairs trading strategies assisted by predictions made using statistical models based on sentiment data. |
| Item Type: | Essay (Master) |
| Faculty: | BMS: Behavioural, Management and Social Sciences |
| Subject: | 54 computer science, 83 economics, 85 business administration, organizational science |
| Programme: | Business Administration MSc (60644) |
| Link to this item: | https://purl.utwente.nl/essays/104941 |
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