Improving Prediction of Stock Market Indices by Analyzing the Psychological States of Twitter Users

25 Pages Posted: 16 Dec 2013 Last revised: 6 Sep 2015

See all articles by Alexander Porshnev

Alexander Porshnev

National Research University Higher School of Economics

Ilya Redkin

National Research University Higher School of Economics

Alexey Shevchenko

National Research University Higher School of Economics

Date Written: December 16, 2013

Abstract

In our paper, we analyze the possibility of improving the prediction of stock market indicators by conducting a sentiment analysis of Twitter posts. We use a dictionary-based approach for sentiment analysis, which allows us to distinguish eight basic emotions in the tweets of users. We compare the results of applying the Support Vector Machine algorithm trained on three sets of data: historical data, historical and “Worry”, “Fear”, “Hope” words count data, historical data and data on the present eight categories of emotions. Our results suggest that the Twitter sentiment analysis data provides additional information and improves prediction as compared to a model based solely on information on previous shifts in stock indicators.

Keywords: stock market; forecast; Twitter; mood; psychological states; Support Vectors Machine; machine learning

JEL Classification: G17, G02

Suggested Citation

Porshnev, Alexander and Redkin, Ilya and Shevchenko, Alexey, Improving Prediction of Stock Market Indices by Analyzing the Psychological States of Twitter Users (December 16, 2013). Higher School of Economics Research Paper No. WP BRP 22/FE/2013. Available at SSRN: https://ssrn.com/abstract=2368151 or http://dx.doi.org/10.2139/ssrn.2368151

Alexander Porshnev (Contact Author)

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Ilya Redkin

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

Alexey Shevchenko

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

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