The Effect of Sentiment on Stock Price Prediction

Bruce J Vanstone, Adrian Gepp, Geoffrey Harris

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

1 Citation (Scopus)
46 Downloads (Pure)

Abstract

Accurately predicting stock prices is of great interest to both academics and practitioners. However, despite considerable efforts over the last few decades, it still remains an elusive challenge. For each of Australia’s 20 largest stocks, we build two neural network autoregressive (NNAR) models: one a basic NNAR model, and the other an NNAR model extended with sentiment inputs. By comparing the prediction accuracy of the two models, we find evidence that the inclusion of sentiment variables based on news articles and twitter sentiment can enhance the accuracy of the stock price prediction process.
Original languageEnglish
Title of host publicationRecent Trends and Future Technology in Applied Intelligence - 31st International Conference on Industrial Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2018, Proceedings
EditorsMalek Mouhoub, Samira Sadaoui, Otmane Ait Mahamed, Moonis Ali
Place of PublicationCham
PublisherSpringer
Pages551-559
Number of pages9
ISBN (Electronic)978-3-319-92058-0
ISBN (Print)978-3-319-92057-3
DOIs
Publication statusPublished - 30 May 2018
EventThe 31st International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems - Montreal, Canada
Duration: 25 Jun 201828 Jun 2018
Conference number: 31st
http://ieaaie2018.encs.concordia.ca/

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume10868 LNAI
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

ConferenceThe 31st International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems
Abbreviated titleIEA-AIE 2018
CountryCanada
CityMontreal
Period25/06/1828/06/18
Internet address

Fingerprint

Stock Prices
Autoregressive Model
Network Model
Neural Networks
Prediction
Neural networks
Inclusion
Model

Cite this

Vanstone, B. J., Gepp, A., & Harris, G. (2018). The Effect of Sentiment on Stock Price Prediction. In M. Mouhoub, S. Sadaoui, O. Ait Mahamed, & M. Ali (Eds.), Recent Trends and Future Technology in Applied Intelligence - 31st International Conference on Industrial Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2018, Proceedings (pp. 551-559). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10868 LNAI). Cham: Springer. https://doi.org/10.1007/978-3-319-92058-0_53
Vanstone, Bruce J ; Gepp, Adrian ; Harris, Geoffrey. / The Effect of Sentiment on Stock Price Prediction. Recent Trends and Future Technology in Applied Intelligence - 31st International Conference on Industrial Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2018, Proceedings. editor / Malek Mouhoub ; Samira Sadaoui ; Otmane Ait Mahamed ; Moonis Ali. Cham : Springer, 2018. pp. 551-559 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)).
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Vanstone, BJ, Gepp, A & Harris, G 2018, The Effect of Sentiment on Stock Price Prediction. in M Mouhoub, S Sadaoui, O Ait Mahamed & M Ali (eds), Recent Trends and Future Technology in Applied Intelligence - 31st International Conference on Industrial Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2018, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 10868 LNAI, Springer, Cham, pp. 551-559, The 31st International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems, Montreal, Canada, 25/06/18. https://doi.org/10.1007/978-3-319-92058-0_53

The Effect of Sentiment on Stock Price Prediction. / Vanstone, Bruce J; Gepp, Adrian; Harris, Geoffrey.

Recent Trends and Future Technology in Applied Intelligence - 31st International Conference on Industrial Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2018, Proceedings. ed. / Malek Mouhoub; Samira Sadaoui; Otmane Ait Mahamed; Moonis Ali. Cham : Springer, 2018. p. 551-559 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 10868 LNAI).

Research output: Chapter in Book/Report/Conference proceedingChapterResearchpeer-review

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Vanstone BJ, Gepp A, Harris G. The Effect of Sentiment on Stock Price Prediction. In Mouhoub M, Sadaoui S, Ait Mahamed O, Ali M, editors, Recent Trends and Future Technology in Applied Intelligence - 31st International Conference on Industrial Engineering and Other Applications of Applied Intelligent Systems, IEA/AIE 2018, Proceedings. Cham: Springer. 2018. p. 551-559. (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)). https://doi.org/10.1007/978-3-319-92058-0_53