Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/31408

TitleOn the predictability of stock market behavior using StockTwits sentiment and posting volume
Author(s)Oliveira, Nuno
Cortez, Paulo
Areal, Nelson
KeywordsMicroblogging data
Returns
Trading volume
Volatility
Regression
Issue dateSep-2013
PublisherSpringer
JournalLecture Notes in Computer Science
Abstract(s)Inthisstudy,weexploreddatafromStockTwits,amicroblog- ging platform exclusively dedicated to the stock market. We produced several indicators and analyzed their value when predicting three market variables: returns, volatility and trading volume. For six major stocks, we measured posting volume and sentiment indicators. We advance on the previous studies on this subject by considering a large time period, using a robust forecasting exercise and performing a statistical test of forecasting ability. In contrast with previous studies, we find no evidence of return predictability using sentiment indicators, and of information content of posting volume for forecasting volatility. However, there is ev- idence that posting volume can improve the forecasts of trading volume, which is useful for measuring stock liquidity (e.g. assets easily sold).
TypeConference paper
DescriptionSeries title : Lecture notes in computer science, vol. 8154
URIhttp://hdl.handle.net/1822/31408
ISBN978-3-642-40668-3
978-3-642-40669-0
DOI10.1007/978-3-642-40669-0_31
ISSN0302-9743
Publisher versionThe original publication is available at http://link.springer.com/chapter/10.1007/978-3-642-40669-0_31
Peer-Reviewedyes
AccessOpen access
Appears in Collections:CAlg - Artigos em livros de atas/Papers in proceedings

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