Deakin University
Browse

File(s) under permanent embargo

A User-Centric Analysis of Social Media for Stock Market Prediction

journal contribution
posted on 2023-04-03, 05:48 authored by Mohamed Reda BouadjenekMohamed Reda Bouadjenek, Scott Sanner, Ga Wu
Social media platforms such as Twitter or StockTwits are widely used for sharing stock market opinions between investors, traders, and entrepreneurs. Empirically, previous work has shown that the content posted on these social media platforms can be leveraged to predict various aspects of stock market performance. Nonetheless, actors on these social media platforms may not always have altruistic motivations and may instead seek to influence stock trading behavior through the (potentially misleading) information they post. While a lot of previous work has sought to analyze how social media can be used to predict the stock market, there remain many questions regarding the quality of the predictions and the behavior of active users on these platforms. To this end, this paper seeks to address a number of open research questions: Which social media platform is more predictive of stock performance? What posted content is actually predictive, and over what time horizon? How does stock market posting behavior vary among different users? Are all users trustworthy, or do some user’s predictions consistently mislead about the true stock movement? To answer these questions, we analyzed data from Twitter and StockTwits covering almost 5 years of posted messages spanning 2015 to 2019. The results of this large-scale study provide a number of important insights among which: (i) StockTwits is a more predictive source of information than Twitter, leading us to focus our analysis on StockTwits; (ii) on StockTwits, users’ self-labeled sentiments are correlated with the stock market but are only slightly predictive in aggregate over the short-term; (iii) there are at least three clear types of temporal predictive behavior for users over a 144 days horizon: short-, medium-, and long-term; and (iv) consistently incorrect users who are reliably wrong tend to exhibit what we conjecture to be “bot-like” post content and their removal from the data tends to improve stock market predictions from self-labeled content.

History

Journal

ACM Transactions on the Web

Volume

17

Article number

9

Pagination

1-22

Location

New York, N.Y.

ISSN

1559-1131

eISSN

1559-114X

Language

en

Publication classification

C1 Refereed article in a scholarly journal

Issue

2

Publisher

Association for Computing Machinery (ACM)