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
Date Written: December 16, 2013
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
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