Title

Sentiment dispersion of individual investors in stock market

Document Type

Book chapter

Source Publication

2015 Seventh International Conference on Ubiquitous and Future Networks (ICUFN 2015) : proceedings of a meeting held 7-10 July 2015, Sapporo, Japan

Publication Date

2015

First Page

488

Last Page

490

Publisher

IEEE Computer Society

Keywords

Data Mining, Sentiment Analysis, Social Media, Stock Market

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.

DOI

10.1109/ICUFN.2015.7182592

Print ISSN

21658528

E-ISSN

21658536

Publisher Statement

Copyright © 2015 by IEEE. Access to external full text or publisher's version may require subscription.

Additional Information

ISBN of the source publication: 9781479989942

Full-text Version

Publisher’s Version

Recommended Citation

Zheng, Z., Yang, Y., & See-to, E. W. K. (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). Piscataway, New Jersey: IEEE Computer Society. doi: 10.1109/ICUFN.2015.7182592

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