Abstract
The application addressed in this paper studies whether Twitter feeds, expressing public opinion concerning companies and their products, are a suitable data source for forecasting the movements in stock closing prices. We use the term predictive sentiment analysis to denote the approach in which sentiment analysis is used to predict the changes in the phenomenon of interest. In this paper, positive sentiment probability is proposed as a new indicator to be used in predictive sentiment analysis in finance. By using the Granger causality test we show that sentiment polarity (positive and negative sentiment) can indicate stock price movements a few days in advance. Finally, we adapted the Support Vector Machine classification mechanism to categorize tweets into three sentiment categories (positive, negative and neutral), resulting in improved predictive power of the classifier in the stock market application.
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Smailović, J., Grčar, M., Lavrač, N., Žnidaršič, M. (2013). Predictive Sentiment Analysis of Tweets: A Stock Market Application. In: Holzinger, A., Pasi, G. (eds) Human-Computer Interaction and Knowledge Discovery in Complex, Unstructured, Big Data. HCI-KDD 2013. Lecture Notes in Computer Science, vol 7947. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-39146-0_8
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DOI: https://doi.org/10.1007/978-3-642-39146-0_8
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