Cryptocurrency Return Prediction Using Investor Sentiment Extracted by BERT-Based Classifiers from News Articles, Reddit Posts and Tweets. (arXiv:2204.05781v1 [q-fin.ST])

This paper studies the extent at which investor sentiment contributes to
cryptocurrency return prediction. Investor sentiment is extracted from news
articles, Reddit posts and Tweets using BERT-based classifiers fine-tuned on
this specific text data. As this data is unlabeled, a weak supervision approach
by pseudo-labeling using a zero-shot classifier is used. Contribution of
sentiment is then examined using a variety of machine learning models. Each
model is trained on data with and without sentiment separately. The conclusion
is that sentiment …

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