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Forecasting power of social media sentiment time series
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Social media are not only the new form of communication, but also give the ability to big industry players, like Facebook, to analyze overwhelming amounts of data about customers’ behavior. The focus of this study was to analyze if social media time series have the power to predict the evolution of financial markets. Despite the short time frame being analyzed, the study delivered promising results that social media time series may be a leading indicator for market behavior after special events. Building on my findings, an applied sentiment trading strategy delivered positive abnormal returns and statistically significant positive alpha in and out-of-sample.
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Social media Sentiment analysis Prediction Stock returns