Browsing by Author "Park, Jin-Tak"

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    Analyzing Causality between Actual Stock Prices and User-weighted Sentiment in Social Media for Stock Market Prediction
    (2016) Park, Jin-Tak; Leung, Henry; Far, Behrouz; Ruhe, Guenther
    In this thesis, an improved sentiment analysis algorithm is proposed which reflects the impact of user, and to analyze whether public sentiment calculated by the proposed algorithm can contribute to stock prediction. The proposed sentiment analysis algorithm reflects the factors of Twitter which are relevant to users’ authority to calculate sentiment weight of each message that is different from existing sentiment analysis algorithms. Linear and nonlinear prediction models are constructed to forecast future stock prices of selected companies. The proposed algorithm is applied to both linear and nonlinear prediction models and comparisons of prediction accuracy with the existing sentiment analysis algorithm are performed. To support the approach of the proposed algorithm that the authoritative users affect the other users, causal relationship between them is figured out through Granger Causality analysis. Further analysis is also provided to find causal relationship between public sentiment and the actual changes of the stock prices.