Buzzwords build momentum: Global financial Twitter sentiment and the aggregate stock market

作者：

Highlights：

• A significant long-term link exists between Twitter sentiment and financial markets.

• Experts are the main driver behind the link between Twitter and stock markets.

• Compared to past prices Twitter sentiment changes are effective in predicting short term stock trends.

• Continuous Twitter sentiment streams can support trend-following strategies for stock indices.

摘要

•A significant long-term link exists between Twitter sentiment and financial markets.•Experts are the main driver behind the link between Twitter and stock markets.•Compared to past prices Twitter sentiment changes are effective in predicting short term stock trends.•Continuous Twitter sentiment streams can support trend-following strategies for stock indices.

论文关键词：Text mining in finance,Social media data,Sentiment extraction,Trend-Following,Alternative data

论文评审过程：Received 27 February 2019, Revised 10 May 2019, Accepted 14 June 2019, Available online 14 June 2019, Version of Record 24 June 2019.

论文官网地址：https://doi.org/10.1016/j.eswa.2019.06.027