Analyzing stock market movements using Twitter sentiment analysis

Rao, Tushar and Srivastava, Saket (2012) Analyzing stock market movements using Twitter sentiment analysis. In: Proceedings of the 2012 International Conference on Advances in Social Networks Analysis and Mining (ASONAM 2012).

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Item Type:Conference or Workshop contribution (Poster)
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In this paper we investigate the complex relationship between tweet board literature (like bullishness, volume, agreement etc) with the financial market instruments (like volatility, trading volume and stock prices). We have analyzed sentiments for more than 4 million tweets between June 2010 to July 2011 for DJIA, NASDAQ-100 and 13 other big cap technological stocks. Our results show high correlation (up to 0.88 for returns) between stock prices and twitter sentiments. Further, using Granger's Causality Analysis, we have validated that the movement of stock prices and indices are greatly affected in the short term by Twitter discussions. Finally, we have implemented Expert Model Mining System (EMMS) to demonstrate that our forecasted returns give a high value of Rsquare (0.952) with low Maximum Absolute Percentage Error (MaxAPE) of 1.76% for Dow Jones Industrial Average (DJIA).

Keywords:stock market, twitter, Social Network Analysis, microblogging, sentiment analysis, bmjdoi
Subjects:G Mathematical and Computer Sciences > G400 Computer Science
G Mathematical and Computer Sciences > G560 Data Management
N Business and Administrative studies > N510 Market Research
Divisions:College of Science > School of Computer Science
College of Science > School of Engineering
Lincoln International Business School
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ID Code:11274
Deposited On:22 Jul 2013 14:06

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