Can Sentiment Analysis and Option Volume Anticipate Future Returns?

Patrick Houlihan and Germán Creamer, “Can social media and the options market predict the stock market behavior?” in Proceedings of the 21st International Conference on Computing in Economics and Finance, Taipei, June 2015, Forthcoming

Stevens Institute of Technology School of Business Research Paper No. 2015–59

15 Pages Posted: 29 May 2015 Last revised: 3 Feb 2017

Patrick Houlihan

Stevens Institute of Technology

Germán G. Creamer

Stevens Institute of Technology - Wesley J. Howe School of Technology Management

Date Written: May 1, 2015

Abstract

This paper evaluates if sentiment extracted from social media and options volume anticipates future asset return. Using both textual based data and a particular market data derived call-put ratio, between July 2009 and September 2012, this research shows that: 1) features derived from market data and a call-put ratio improve model performance, and 2) sentiment derived from StockTwits, a social media platform for the financial community, further improves model performance.

Keywords: Social Media, Investor Sentiment, Behavioral Finance, Machine Learning

JEL Classification: G02, G12, C32, C15, C49, C63

Suggested Citation

Houlihan, Patrick and Creamer, Germán G., Can Sentiment Analysis and Option Volume Anticipate Future Returns? (May 1, 2015). Patrick Houlihan and Germán Creamer, “Can social media and the options market predict the stock market behavior?” in Proceedings of the 21st International Conference on Computing in Economics and Finance, Taipei, June 2015, Forthcoming; Stevens Institute of Technology School of Business Research Paper No. 2015–59. Available at SSRN: https://ssrn.com/abstract=2611210 or http://dx.doi.org/10.2139/ssrn.2611210

Patrick Houlihan (Contact Author)

Stevens Institute of Technology ( email )

Hoboken, NJ 07030
United States

Germán G. Creamer

Stevens Institute of Technology - Wesley J. Howe School of Technology Management ( email )

1 Castle Point on Hudson
Hoboken, NJ 07030
United States
2012168986 (Phone)

HOME PAGE: http://www.creamer-co.com

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