The Effect of Sentiment on Stock Price Prediction

Bruce J Vanstone; Adrian Gepp; Geoffrey Harris

doi:10.1007/978-3-319-92058-0_53

The Effect of Sentiment on Stock Price Prediction

Bruce J Vanstone
, Adrian Gepp
, Geoffrey Harris

Research output: Chapter in Book/Report/Conference proceeding › Chapter › Research › peer-review

8 Citations (Scopus)

327 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 language	English
Title of host publication	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
Editors	Malek Mouhoub, Samira Sadaoui, Otmane Ait Mahamed, Moonis Ali
Place of Publication	Cham
Publisher	Springer
Pages	551-559
Number of pages	9
ISBN (Electronic)	978-3-319-92058-0
ISBN (Print)	978-3-319-92057-3
DOIs	https://doi.org/10.1007/978-3-319-92058-0_53
Publication status	Published - 30 May 2018
Event	The 31st International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems - Montreal, Canada Duration: 25 Jun 2018 → 28 Jun 2018 Conference number: 31st http://ieaaie2018.encs.concordia.ca/

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	10868 LNAI
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	The 31st International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems
Abbreviated title	IEA-AIE 2018
Country/Territory	Canada
City	Montreal
Period	25/06/18 → 28/06/18
Internet address	http://ieaaie2018.encs.concordia.ca/

Access to Document

10.1007/978-3-319-92058-0_53

The Effect of Sentiment on Stock Price PredictionAccepted author manuscript, 194 KBLicence: Other

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). 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, Quebec, 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 proceeding › Chapter › Research › peer-review

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T1 - The Effect of Sentiment on Stock Price Prediction

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AU - Gepp, Adrian

AU - Harris, Geoffrey

N1 - Conference code: 31st

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N2 - 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.

AB - 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.

UR - https://www.scopus.com/pages/publications/85049008934

U2 - 10.1007/978-3-319-92058-0_53

DO - 10.1007/978-3-319-92058-0_53

M3 - Chapter

SN - 978-3-319-92057-3

T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

SP - 551

EP - 559

BT - 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

A2 - Mouhoub, Malek

A2 - Sadaoui, Samira

A2 - Ait Mahamed, Otmane

A2 - Ali, Moonis

PB - Springer

CY - Cham

T2 - The 31st International Conference on Industrial, Engineering & Other Applications of Applied Intelligent Systems

Y2 - 25 June 2018 through 28 June 2018

ER -

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)). doi: 10.1007/978-3-319-92058-0_53

The Effect of Sentiment on Stock Price Prediction

Abstract

Publication series

Conference

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The Effect of Sentiment on Stock Price Prediction

Abstract

Publication series

Conference

Access to Document

Other files and links

Fingerprint

Related Research Outputs

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