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Twitter sentiment analysis : how to hedge your bets in the stock markets

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dc.contributor.author Rao, Tushar
dc.contributor.author Srivastava, Saket
dc.date.accessioned 2012-03-26T10:49:46Z
dc.date.available 2012-03-26T10:49:46Z
dc.date.issued 2012-03-26T10:49:46Z
dc.identifier.uri https://repository.iiitd.edu.in/jspui/handle/123456789/30
dc.description.abstract Emerging interest of trading companies and hedge funds in mining social web has created new avenues for intelligent systems that make use of public opinion in driving investment decisions. It is well accepted that at high frequency trading, investors are tracking memes rising up in microblogging forums to count for the public behavior as an important feature while making short term investment decisions. We investigate the complex relationship be- tween tweet board literature (like bullishness, volume, agreement etc) with the nancial market instruments (like volatility, trading volume and stock prices). We have analyzed Twitter sentiments for more than 4 million tweets between June 2010 and July 2011 for DJIA, NASDAQ-100 and 11 other big cap tech- nological stocks. Our results show high correlation (upto 0.88 for returns) between stock prices and twitter sentiments. Further, using Granger's Causal- ity Analysis, we have validated that the movement of stock prices and indices are greatly a ected 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 R-square (0.952) with low Maximum Absolute Percentage Error (MaxAPE) of 1.76% for Dow Jones Industrial Av- erage (DJIA). We introduce a novel way to make use of market monitoring elements derived from public mood to retain a portfolio within limited risk state (highly improved hedging bets) during typical market conditions. en_US
dc.language.iso en_US en_US
dc.relation.ispartofseries IIITD-TR-2012-004
dc.subject Stock Market en_US
dc.subject Sentiment Analysis en_US
dc.subject Twitter en_US
dc.subject Microblogging en_US
dc.subject Social Network Analysis en_US
dc.subject Netaji Subhas Institute of Technology en_US
dc.title Twitter sentiment analysis : how to hedge your bets in the stock markets en_US
dc.type Technical Report en_US

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