Machine Learning-Based Analysis of the Association Between Online Texts and Stock Price Movements

  • František Dařena Mendel university
  • Jonáš Petrovský
  • Jan Žižka
  • Jan Přichystal

Abstract

The paper presents the result of experiments that were designed with the goal of revealing the association between texts published in online environments (Yahoo! Finance, Facebook, and Twitter) and changes in stock prices of the corresponding companies at a micro level. The association between lexicon detected sentiment and stock price movements was not confirmed. It was, however, possible to reveal and quantify such association with the application of machine learning-based classification. From the experiments it was obvious that the data preparation procedure had a substantial impact on the results. Thus, different stock price smoothing, lags between the release of documents and related stock price changes, five levels of a minimal stock price change, three different weighting schemes for structured document representation, and six classifiers were studied. It has been shown that at least part of the movement of stock prices is associated with the textual content if a proper combination of processing parameters is selected.

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Published
2018-05-09
How to Cite
Dařena, F., Petrovský, J., Žižka, J., & Přichystal, J. (2018). Machine Learning-Based Analysis of the Association Between Online Texts and Stock Price Movements. Inteligencia Artificial, 21(61), 95-110. https://doi.org/10.4114/intartif.vol21iss61pp95-110