Forecasting stock market movement direction using sentiment analysis and support vector machine

R Ren, DD Wu, T Liu - IEEE Systems Journal, 2018 - ieeexplore.ieee.org
IEEE Systems Journal, 2018ieeexplore.ieee.org
Investor sentiment plays an important role on the stock market. User-generated textual
content on the Internet provides a precious source to reflect investor psychology and
predicts stock prices as a complement to stock market data. This paper integrates sentiment
analysis into a machine learning method based on support vector machine. Furthermore, we
take the day-of-week effect into consideration and construct more reliable and realistic
sentiment indexes. Empirical results illustrate that the accuracy of forecasting the movement …
Investor sentiment plays an important role on the stock market. User-generated textual content on the Internet provides a precious source to reflect investor psychology and predicts stock prices as a complement to stock market data. This paper integrates sentiment analysis into a machine learning method based on support vector machine. Furthermore, we take the day-of-week effect into consideration and construct more reliable and realistic sentiment indexes. Empirical results illustrate that the accuracy of forecasting the movement direction of the SSE 50 Index can be as high as 89.93% with a rise of 18.6% after introducing sentiment variables. And, meanwhile, our model helps investors make wiser decisions. These findings also imply that sentiment probably contains precious information about the asset fundamental values and can be regarded as one of the leading indicators of the stock market.
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