Using Emotional Markers' Frequencies in Stock Market ARMAX-GARCH Model

Alexander V. Porshnev, Valeriya V. Lakshina and Ilya E. Redkin

MPRA Paper from University Library of Munich, Germany

Abstract: We analyze the possibility of improving the prediction of stock market indicators by adding information about public mood expressed in Twitter posts. To estimate public mood, we analysed frequencies of 175 emotional markers - words, emoticons, acronyms and abbreviations - in more than two billion tweets collected via Twitter API over a period from 13.02.2013 to 22.04.2015. We explored the Granger causality relations between stock market returns of S&P500, DJIA, Apple, Google, Facebook, P zer and Exxon Mobil and emotional markers frequencies. We found that 17 emotional markers out of 175 are Granger causes of changes in returns without reverse e ect. These frequencies were tested by Bayes Information Criteria to determine whether they provide additional information to the baseline ARMAX-GARCH model. We found Twitter data can provide additional information and managed to improve prediction as compared to a model based solely on emotional markers.

Keywords: Twitter; mood; emotional markers; stock market; volatility (search for similar items in EconPapers)
JEL-codes: L86 O16 (search for similar items in EconPapers)
Date: 2016-07-18
New Economics Papers: this item is included in nep-big
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Published in CEUR Workshop Proceeding Experimental Economics and Machine Learning.1627(2016): pp. 61-72

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