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
Language
English
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