Researchers from the Department of Computer Science, University College London study sentiment analysis versus volume to lead financial markets.
From abstract and summary:
"We use sentiment analysis techniques and Information Theory measures to demonstrate that social media message sentiment can contain statistically-significant ex-ante information on the future prices of the S&P500 index and a limited set of stocks, in excess of what is achievable using solely message volumes."
"We can therefore conclude that sentiments of social media messages show consistently stronger abilities to lead financial markets than social media volumes, and we therefore argue that further attention should be given to exploring this valuable source of data.
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