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Could Emotional Markers in Twitter Posts Add Information to the Stock Market Armax-Garch Model

Author

Listed:
  • Alexander Porshnev

    (National Research University Higher School of Economics)

  • Valeria Lakshina

    (National Research University Higher School of Economics)

  • Ilya Redkin

    (National Research University Higher School of Economics)

Abstract

In our paper, we analyze the possibility of improving the prediction of stock market indicators by adding information about public mood derived from Twitter posts. To estimate public mood, we analyzed the frequencies of 175 emotional markers | words, emoticons, acronyms and abbreviations | in more than two billion tweets collected via Twitter API over the period from 13.02.2013 to 22.04.2015. We found that, from 17 emotional markers frequencies with established Granger causality, six provide additional information for the baseline ARMAX-GARCH model according to Bayesian information criteria for the in-sample period of 421 days, and two emotional markers improve directional accuracy and a decrease in the mean-squared error of the model. Our analysis reveals several groups of emotional markers, such as general and speci c, direct and indirect, which relate di erently to the dynamics of returns.

Suggested Citation

  • Alexander Porshnev & Valeria Lakshina & Ilya Redkin, 2016. "Could Emotional Markers in Twitter Posts Add Information to the Stock Market Armax-Garch Model," HSE Working papers WP BRP 54/FE/2016, National Research University Higher School of Economics.
    • Handle: RePEc:hig:wpaper:54/fe/2016
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    References listed on IDEAS

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    Cited by:

    1. Audrino, Francesco & Sigrist, Fabio & Ballinari, Daniele, 2020. "The impact of sentiment and attention measures on stock market volatility," International Journal of Forecasting, Elsevier, vol. 36(2), pages 334-357.

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    More about this item

    Keywords

    Twitter; mood; emotional markers; stock market; volatility.;
    All these keywords.

    JEL classification:

    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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