Please use this identifier to cite or link to this item:
Title: Sentiment dispersion of individual investors in stock market
Authors: Zheng, Z
Yang, Y
See-To, EWK 
Keywords: Data mining
Sentiment analysis
Social media
Stock market
Issue Date: 2015
Publisher: IEEE Computer Society
Source: 7th International Conference on Ubiquitous and Future Networks, ICUFN 2015, 7-10 July 2015, 7182592, p. 488-490 How to cite?
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.
ISBN: 9781479989935
ISSN: 2165-8528
DOI: 10.1109/ICUFN.2015.7182592
Appears in Collections:Conference Paper

View full-text via PolyU eLinks SFX Query
Show full item record

Page view(s)

Last Week
Last month
Citations as of Nov 12, 2018

Google ScholarTM



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.