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Trading on Twitter: Using Social Media Sentiment to Predict Stock Returns

机译：在Twitter上交易：使用社交媒体情绪预测股票收益

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摘要

Decision making is often based on the rational assessment of information, but recent research shows that emotional sentiment also plays an important role, especially for investment decision making. Emotional sentiment about a firm's stock that spreads rapidly through social media is more likely to be incorporated quickly into stock prices (e.g., on the same trading day it was expressed), while sentiment that spreads slowly takes longer to be incorporated into stock prices and thus is more likely to predict stock prices on future days. We analyzed the cumulative sentiment (positive and negative) in 2.5 million Twitter postings about individual S&P 500 firms and compared this to the stock returns of those firms. Our results show that the sentiment in tweets about a specific firm from users with less than 171 followers (the median in our sample) had a significant impact on the stock's returns on the next trading day, the next 10 days, and the next 20 days. Interestingly, sentiment in tweets from users with fewer than 171 followers that were not retweeted had the greatest impact on future stock returns. A trading strategy based on these findings produced meaningful economic gains on the order of an 11-15% annual return.
机译：决策通常基于对信息的合理评估，但是最近的研究表明，情绪情绪也起着重要作用，尤其是对于投资决策而言。通过社交媒体快速传播的公司股票的情感情绪更有可能迅​​速纳入股票价格（例如，在表示的同一交易日），而缓慢传播的情绪需要较长的时间纳入股票价格，因此更可能预测未来几天的股价。我们分析了250万条关于个别标普500指数公司的Twitter帖子中的累积情绪（正面和负面），并将其与这些公司的股票收益进行了比较。我们的结果表明，关注者少于171个的用户（我们样本中的中位数）在特定公司的推文中的情绪对下一个交易日，接下来的10天和接下来的20天的股票收益具有重大影响。有趣的是，关注者少于171个的用户未转发的推文对未来的股票回报影响最大。基于这些发现的交易策略产生了可观的经济收益，年收益约为11-15％。

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  • 来源
    《Decision sciences》 |2017年第3期|454-488|共35页
  • 作者

    Sul Hong Kee; Dennis Alan R.; Yuan Lingyao (Ivy);

  • 作者单位

    Univ Penn, Wharton Sch, Wharton Res Data Serv, Philadelphia, PA 19104 USA;

    Indiana Univ, Kelley Sch Business, Operat & Decis Technol Dept, Bloomington, IN 47405 USA;

    Iowa State Univ, Dept Supply Chain & Informat Syst, Coll Business, Ames, IA 50011 USA;

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  • 原文格式 PDF
  • 正文语种 eng
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  • 关键词

    Twitter; Emotion; Sentiment; Stock returns; SP500;

    机译：Twitter;情感;情绪;股票收益;S＆P500;

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