Investigating the relationship between the emotion of blogs and the price of index futures

Yen Hao Kao, Ping Yu Hsu, Ming Shien Cheng, Hong Tsuen Lei, Shih Hsiang Huang, Yen Huei Ko, Chen Wan Huang

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

As the financial derivatives tradable market developed quickly in Taiwan, the trading volumes in futures grew quickly in recent years. At the same time, many people posted and shared opinion on social media. Many research in economics and behavioral finance have posited and confirmed that investor’s “mood” correlated with the performance of financial market. Several researches had devoted to study the relationship between the volatility of financial market and sentiments expressed in social media. On the other hand, even though emotion can describe the feeling of people more precisely than sentiment, to the best of our knowledge, only one research has tried to discover the relationship between futures performance and emotion fluctuation. The research tracked the evolvement of specific events. Instead of tracking long-term emotional fluctuation, this study strived to predict price change of derivatives with emotion expressed in social media in previous day. The result confirmed that there was a significant correlation between the intensity of emotion “fear” and the market decline. When the major emotions were “good” and “sad”, the strength of emotion was significantly correlated with the change of the market price.

Original languageEnglish
Title of host publicationAdvances in Swarm Intelligence - 9th International Conference, ICSI 2018, Proceedings
EditorsYing Tan, Qirong Tang, Yuhui Shi
PublisherSpringer Verlag
Pages423-431
Number of pages9
ISBN (Print)9783319938172
DOIs
StatePublished - 2018
Event9th International Conference on Swarm Intelligence, ICSI 2018 - Shanghai, China
Duration: 17 Jun 201822 Jun 2018

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume10942 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference9th International Conference on Swarm Intelligence, ICSI 2018
Country/TerritoryChina
CityShanghai
Period17/06/1822/06/18

Keywords

  • Emotion analysis
  • Social media
  • Taiwan index futures

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