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TitleStock market sentiment lexicon acquisition using microblogging data and statistical measures
Author(s)Oliveira, Nuno Miguel Rocha
Cortez, Paulo
Areal, Nelson
KeywordsSentiment analysis
Stock market
Microblogging data
Issue date2016
PublisherElsevier Science BV
JournalDecision Support Systems
CitationOliveira, N., Cortez, P., & Areal, N. (2016). Stock market sentiment lexicon acquisition using microblogging data and statistical measures. Decision Support Systems, 85, 62-73. doi: 10.1016/j.dss.2016.02.013
Abstract(s)Lexicon acquisition is a key issue for sentiment analysis. This paper presents a novel and fast approach for creating stock market lexicons. The approach is based on statistical measures applied over a vast set of labeled messages from StockTwits, which is a specialized stock market microblog. We compare three adaptations of statistical measures, such as pointwise mutual information (PMI), two new complementary statistics and the use of sentiment scores for affirmative and negated con- texts. Using StockTwits, we show that the new lexicons are competitive for measuring investor sentiment when compared with six popular lexicons. We also applied a lexicon to easily produce Twitter investor sentiment indicators and analyzed their correlation with survey sentiment indexes. The new microblogging indicators have a moderate correlation with popular Investors Intelligence (II) and American Association of Individual Investors (AAII) indicators. Thus, the new microblogging approach can be used alternatively to traditional survey indicators with advantages (e.g., cheaper creation, higher frequencies).
Publisher version
AccessOpen access
Appears in Collections:CAlg - Artigos em revistas internacionais/Papers in international journals
EEG - Artigos em revistas de circulação internacional com arbitragem científica

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