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

User sentiment detection: a YouTube use case

In this paper we propose an unsupervised lexicon-based approach to detect the sentiment polarity of user comments in YouTube. Polarity detection in social media content is challenging not only because of the existing limitations in current sentiment dictionaries but also due to the informal linguistic styles used by users. Present dictionaries fail to capture the sentiments of community-created terms. To address the challenge we adopted a data-driven approach and prepared a social media specific list of terms and phrases expressing user sentiments and opinions. Experimental evaluation shows the combinatorial approach has greater potential. Finally, we discuss many research challenges involving social media sentiment analysis

Statistical Inferences for Polarity Identification in Natural Language

Information forms the basis for all human behavior, including the ubiquitous decision-making that people constantly perform in their every day lives. It is thus the mission of researchers to understand how humans process information to reach decisions. In order to facilitate this task, this work proposes a novel method of studying the reception of granular expressions in natural language. The approach utilizes LASSO regularization as a statistical tool to extract decisive words from textual content and draw statistical inferences based on the correspondence between the occurrences of words and an exogenous response variable. Accordingly, the method immediately suggests significant implications for social sciences and Information Systems research: everyone can now identify text segments and word choices that are statistically relevant to authors or readers and, based on this knowledge, test hypotheses from behavioral research. We demonstrate the contribution of our method by examining how authors communicate subjective information through narrative materials. This allows us to answer the question of which words to choose when communicating negative information. On the other hand, we show that investors trade not only upon facts in financial disclosures but are distracted by filler words and non-informative language. Practitioners - for example those in the fields of investor communications or marketing - can exploit our insights to enhance their writings based on the true perception of word choice

Basic tasks of sentiment analysis

Subjectivity detection is the task of identifying objective and subjective sentences. Objective sentences are those which do not exhibit any sentiment. So, it is desired for a sentiment analysis engine to find and separate the objective sentences for further analysis, e.g., polarity detection. In subjective sentences, opinions can often be expressed on one or multiple topics. Aspect extraction is a subtask of sentiment analysis that consists in identifying opinion targets in opinionated text, i.e., in detecting the specific aspects of a product or service the opinion holder is either praising or complaining about

Evaluating sentiment in financial news articles: Working paper series--11-10

We investigate the pairing of a financial news article prediction system, AZFinText, with sentiment analysis techniques. From our comparisons we found that news articles of a subjective nature were easier to predict in both price direction (59.0% vs 50.4% without sentiment) and through a simple trading engine (3.30% return vs 2.41% without sentiment). Looking into sentiment further, we found that news articles of a negative sentiment were easiest to predict in both price direction (50.9% vs 50.4% without sentiment) and our simple trading engine (3.04% return vs 2.41% without sentiment). Investigating the negative sentiment further, we found that AZFinText was best able to predict price decreases in articles of a positive sentiment (53.5%) and price increases in articles of a negative or neutral sentiment (52.4% and 49.5% respectively)

What attracts vehicle consumers’ buying:A Saaty scale-based VIKOR (SSC-VIKOR) approach from after-sales textual perspective?

Purpose: The increasingly booming e-commerce development has stimulated vehicle consumers to express individual reviews through online forum. The purpose of this paper is to probe into the vehicle consumer consumption behavior and make recommendations for potential consumers from textual comments viewpoint. Design/methodology/approach: A big data analytic-based approach is designed to discover vehicle consumer consumption behavior from online perspective. To reduce subjectivity of expert-based approaches, a parallel Naïve Bayes approach is designed to analyze the sentiment analysis, and the Saaty scale-based (SSC) scoring rule is employed to obtain specific sentimental value of attribute class, contributing to the multi-grade sentiment classification. To achieve the intelligent recommendation for potential vehicle customers, a novel SSC-VIKOR approach is developed to prioritize vehicle brand candidates from a big data analytical viewpoint. Findings: The big data analytics argue that “cost-effectiveness” characteristic is the most important factor that vehicle consumers care, and the data mining results enable automakers to better understand consumer consumption behavior. Research limitations/implications: The case study illustrates the effectiveness of the integrated method, contributing to much more precise operations management on marketing strategy, quality improvement and intelligent recommendation. Originality/value: Researches of consumer consumption behavior are usually based on survey-based methods, and mostly previous studies about comments analysis focus on binary analysis. The hybrid SSC-VIKOR approach is developed to fill the gap from the big data perspective