The Effects of Twitter Sentiment on Stock Price Returns

Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-know micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a relatively low Pearson correlation and Granger causality between the corresponding time series over the entire time period. However, we find a significant dependence between the Twitter sentiment and abnormal returns during the peaks of Twitter volume. This is valid not only for the expected Twitter volume peaks (e.g., quarterly announcements), but also for peaks corresponding to less obvious events. We formalize the procedure by adapting the well-known "event study" from economics and finance to the analysis of Twitter data. The procedure allows to automatically identify events as Twitter volume peaks, to compute the prevailing sentiment (positive or negative) expressed in tweets at these peaks, and finally to apply the "event study" methodology to relate them to stock returns. We show that sentiment polarity of Twitter peaks implies the direction of cumulative abnormal returns. The amount of cumulative abnormal returns is relatively low (about 1-2%), but the dependence is statistically significant for several days after the events

SentiBench - a benchmark comparison of state-of-the-practice sentiment analysis methods

In the last few years thousands of scientific papers have investigated sentiment analysis, several startups that measure opinions on real data have emerged and a number of innovative products related to this theme have been developed. There are multiple methods for measuring sentiments, including lexical-based and supervised machine learning methods. Despite the vast interest on the theme and wide popularity of some methods, it is unclear which one is better for identifying the polarity (i.e., positive or negative) of a message. Accordingly, there is a strong need to conduct a thorough apple-to-apple comparison of sentiment analysis methods, \textit{as they are used in practice}, across multiple datasets originated from different data sources. Such a comparison is key for understanding the potential limitations, advantages, and disadvantages of popular methods. This article aims at filling this gap by presenting a benchmark comparison of twenty-four popular sentiment analysis methods (which we call the state-of-the-practice methods). Our evaluation is based on a benchmark of eighteen labeled datasets, covering messages posted on social networks, movie and product reviews, as well as opinions and comments in news articles. Our results highlight the extent to which the prediction performance of these methods varies considerably across datasets. Aiming at boosting the development of this research area, we open the methods' codes and datasets used in this article, deploying them in a benchmark system, which provides an open API for accessing and comparing sentence-level sentiment analysis methods

Contextual Semantics for Radicalisation Detection on Twitter

Much research aims to detect online radical content mainly using radicalisation glossaries, i.e., by looking for terms and expressions associated with religion, war, offensive language, etc. However, such crude methods are highly inaccurate towards content that uses radicalisation terminology to simply report on current events, to share harmless religious rhetoric, or even to counter extremism. Language is complex and the context in which particular terms are used should not be disregarded. In this paper, we propose an approach for building a representation of the semantic context of the terms that are linked to radicalised rhetoric. We use this approach to analyse over 114K tweets that contain radicalisation-terms (around 17K posted by pro-ISIS users, and 97k posted by “general” Twitter users). We report on how the contextual information differs for the same radicalisation terms in the two datasets, which indicate that contextual semantics can help to better discriminate radical content from content that only uses radical terminology.The classifiers we built to test this hypothesis outperform those that disregard contextual informatio

On the Reproducibility and Generalisation of the Linear Transformation of Word Embeddings

Linear transformation is a way to learn a linear relationship between two word embeddings, such that words in the two different embedding spaces can be semantically related. In this paper, we examine the reproducibility and generalisation of the linear transformation of word embeddings. Linear transformation is particularly useful when translating word embedding models in different languages, since it can capture the semantic relationships between two models. We first reproduce two linear transformation approaches, a recent one using orthogonal transformation and the original one using simple matrix transformation. Previous findings on a machine translation task are re-examined, validating that linear transformation is indeed an effective way to transform word embedding models in different languages. In particular, we show that the orthogonal transformation can better relate the different embedding models. Following the verification of previous findings, we then study the generalisation of linear transformation in a multi-language Twitter election classification task. We observe that the orthogonal transformation outperforms the matrix transformation. In particular, it significantly outperforms the random classifier by at least 10% under the F1 metric across English and Spanish datasets. In addition, we also provide best practices when using linear transformation for multi-language Twitter election classification