Sentiment dispersion of individual investors in stock market

Zhenhao ZHENG, Yang YANG, Wing Kuen, Eric SEE-TO

Research output: Book Chapters | Papers in Conference ProceedingsConference paper (refereed)

Abstract

This paper aims to study the role of sentiment dispersion in stock market. We extract the investor sentiment from tweets that are specifically about opinions on stocks. Naïve Bayes is then used to assign each tweet a conditional probability representing how positive each tweet is. We did not discretize the probability so as to reduce the information loss. Sentiment dispersion is then measured by standard deviation. The resulting sentiment dispersion is then correlate with future stock returns and realized volatility. This research is able to show whether sentiment dispersion contains information about future return and volatility, which are helpful in formulating investment strategy.
Original languageEnglish
Title of host publication2015 Seventh International Conference on Ubiquitous and Future Networks (ICUFN 2015) : proceedings of a meeting held 7-10 July 2015, Sapporo, Japan
PublisherIEEE Computer Society
Pages488-490
Number of pages3
ISBN (Print)9781479989942
DOIs
Publication statusPublished - 1 Jan 2015
Externally publishedYes

    Fingerprint

Keywords

  • Data Mining
  • Sentiment Analysis
  • Social Media
  • Stock Market

Cite this

ZHENG, Z., YANG, Y., & SEE-TO, W. K. E. (2015). Sentiment dispersion of individual investors in stock market. In 2015 Seventh International Conference on Ubiquitous and Future Networks (ICUFN 2015) : proceedings of a meeting held 7-10 July 2015, Sapporo, Japan (pp. 488-490). IEEE Computer Society. https://doi.org/10.1109/ICUFN.2015.7182592