Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/31408
Título: | On the predictability of stock market behavior using StockTwits sentiment and posting volume |
Autor(es): | Oliveira, Nuno Cortez, Paulo Areal, Nelson |
Palavras-chave: | Microblogging data Returns Trading volume Volatility Regression |
Data: | Set-2013 |
Editora: | Springer |
Revista: | Lecture Notes in Computer Science |
Resumo(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). |
Tipo: | Artigo em ata de conferência |
Descrição: | Series title : Lecture notes in computer science, vol. 8154 |
URI: | https://hdl.handle.net/1822/31408 |
ISBN: | 978-3-642-40668-3 978-3-642-40669-0 |
DOI: | 10.1007/978-3-642-40669-0_31 |
ISSN: | 0302-9743 |
Versão da editora: | The original publication is available at http://link.springer.com/chapter/10.1007/978-3-642-40669-0_31 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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2013-epia.pdf | 1,28 MB | Adobe PDF | Ver/Abrir |