Measuring information flux between social media and stock prices with Transfer Entropy.
Transfer Entropy was applied to analyze the correlations and flow of information between 200,500 tweets and 23 of the largest capitalized companies during 6 years along the period 2013-2018. The set of tweets were obtained applying a text mining algorithm and classified according to daily date and c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Public Library of Science (PLoS)
2021-01-01
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| Series: | PLoS ONE |
| Online Access: | https://doi.org/10.1371/journal.pone.0257686 |
| _version_ | 1818405574206816256 |
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| author | Román Alejandro Mendoza Urdiales Andrés García-Medina José Antonio Nuñez Mora |
| author_facet | Román Alejandro Mendoza Urdiales Andrés García-Medina José Antonio Nuñez Mora |
| author_sort | Román Alejandro Mendoza Urdiales |
| collection | DOAJ |
| description | Transfer Entropy was applied to analyze the correlations and flow of information between 200,500 tweets and 23 of the largest capitalized companies during 6 years along the period 2013-2018. The set of tweets were obtained applying a text mining algorithm and classified according to daily date and company mentioned. We proposed the construction of a Sentiment Index applying a Natural Processing Language algorithm and structuring the sentiment polarity for each data set. Bootstrapped Simulations of Transfer Entropy were performed between stock prices and Sentiment Indexes. The results of the Transfer Entropy simulations show a clear information flux between general public opinion and companies' stock prices. There is a considerable amount of information flowing from general opinion to stock prices, even between different Sentiment Indexes. Our results suggest a deep relationship between general public opinion and stock prices. This is important for trading strategies and the information release policies for each company. |
| first_indexed | 2024-12-14T08:58:12Z |
| format | Article |
| id | doaj.art-22576571950040ca85063e1c7e365509 |
| institution | Directory Open Access Journal |
| issn | 1932-6203 |
| language | English |
| last_indexed | 2024-12-14T08:58:12Z |
| publishDate | 2021-01-01 |
| publisher | Public Library of Science (PLoS) |
| record_format | Article |
| series | PLoS ONE |
| spelling | doaj.art-22576571950040ca85063e1c7e3655092022-12-21T23:08:52ZengPublic Library of Science (PLoS)PLoS ONE1932-62032021-01-01169e025768610.1371/journal.pone.0257686Measuring information flux between social media and stock prices with Transfer Entropy.Román Alejandro Mendoza UrdialesAndrés García-MedinaJosé Antonio Nuñez MoraTransfer Entropy was applied to analyze the correlations and flow of information between 200,500 tweets and 23 of the largest capitalized companies during 6 years along the period 2013-2018. The set of tweets were obtained applying a text mining algorithm and classified according to daily date and company mentioned. We proposed the construction of a Sentiment Index applying a Natural Processing Language algorithm and structuring the sentiment polarity for each data set. Bootstrapped Simulations of Transfer Entropy were performed between stock prices and Sentiment Indexes. The results of the Transfer Entropy simulations show a clear information flux between general public opinion and companies' stock prices. There is a considerable amount of information flowing from general opinion to stock prices, even between different Sentiment Indexes. Our results suggest a deep relationship between general public opinion and stock prices. This is important for trading strategies and the information release policies for each company.https://doi.org/10.1371/journal.pone.0257686 |
| spellingShingle | Román Alejandro Mendoza Urdiales Andrés García-Medina José Antonio Nuñez Mora Measuring information flux between social media and stock prices with Transfer Entropy. PLoS ONE |
| title | Measuring information flux between social media and stock prices with Transfer Entropy. |
| title_full | Measuring information flux between social media and stock prices with Transfer Entropy. |
| title_fullStr | Measuring information flux between social media and stock prices with Transfer Entropy. |
| title_full_unstemmed | Measuring information flux between social media and stock prices with Transfer Entropy. |
| title_short | Measuring information flux between social media and stock prices with Transfer Entropy. |
| title_sort | measuring information flux between social media and stock prices with transfer entropy |
| url | https://doi.org/10.1371/journal.pone.0257686 |
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