Stock Market Prediction with Historical Time Series Data and Sentimental Analysis of Social Media Data

Author(s):  
M. Kesavan ◽  
J. Karthiraman ◽  
Rajadurai T. Ebenezer ◽  
S. Adhithyan
2021 ◽  
Author(s):  
Shoko Wakamiya ◽  
Osamu Morimoto ◽  
Katsuhiro Omichi ◽  
Hideyuki Hara ◽  
Ichiro Kawase ◽  
...  

BACKGROUND Health-related social media data are increasingly being used in disease surveillance studies. In particular, surveillance of infectious diseases such as influenza has demonstrated high correlations between the number of social media posts mentioning the disease and the number of patients who went to the hospital and were diagnosed with the disease. However, the prevalence of some diseases, such as allergic rhinitis, cannot be estimated based on the number of patients alone. Specifically, patients with allergic rhinitis self-medicate by taking over-the-counter (OTC) medications without going to the hospital. Although allergic rhinitis is not a life-threatening disease, it is a major social problem because it reduces patients’ quality of life, making it essential to understand its prevalence and the motives for self-medication behavior. OBJECTIVE To help understand the prevalence of allergic rhinitis and the motives for self-care treatment using social media data, this study investigated the relationship between the number of social media posts mentioning the main symptoms of allergic rhinitis and the sales volume of OTC rhinitis medications in Japan. METHODS We collected tweets over four years from 2017 to 2020 that included keywords corresponding to the main nasal symptoms of allergic rhinitis: “sneezing,” “runny nose,” and “stuffy nose.” We also obtained the sales volume of OTC drugs, including oral medications and nasal sprays, for the same period. We then calculated the Pearson correlation coefficient between time series data on the number of tweets per week and time series data on the sales volume of OTC drugs per week. RESULTS The results showed a much higher correlation (0.8432) between the time series data on the number of tweets mentioning “stuffy nose” and the time series data on the sales volume of nasal sprays than for the other two symptoms. There was also a high correlation (0.9317) between the seasonal components of these time series data. CONCLUSIONS We investigated the relationships between social media data and behavioral patterns, such as OTC drug sales volume. Exploring these relationships would be useful as a marketing indicator to predict sales volume using social media data. In future, in-depth investigations are required to cover other diseases and countries. We investigated the relationships between social media data and behavioral patterns, such as OTC drug sales volume. Exploring these relationships would be useful as a marketing indicator to predict sales volume using social media data. In future, in-depth investigations are required to cover other diseases and countries.


Stock market prediction through time series is a challenging as well as an interesting research areafor the finance domain, through which stock traders and investors can find the right time to buy/sell stocks. However, various algorithms have been developed based on the statistical approach to forecast the time series for stock data, but due to the volatile nature and different price ranges of the stock price one particular algorithm is not enough to visualize the prediction. This study aims to propose a model that will choose the preeminent algorithm for that particular company’s stock that can forecastthe time series with minimal error. This model can assist a trader/investor with or without expertise in the stock market to achieve profitable investments. We have used the Stock data from Stock Exchange Bangladesh, which covers 300+ companies to train and test our system. We have classified those companies based on the stock price range and then applied our model to identify which algorithm suites most for a particular range of stock price. Comparative forecasting results of all algorithms in diverse price ranges have been presented to show the usefulness of this Predictive Meta Model


2018 ◽  
Vol 10 (1) ◽  
pp. 23
Author(s):  
Godfrey Osaseri ◽  
Ifuero Osad Osamwonyi

The study examines Stock Market development and economic growth in BRICS, Quarterly time series data for the period 1994QI to 2015Q4 were sourced from World Bank Indicator. The Panel Least Squares based on the fixed effect estimation was employed to determine how stock market development impacts on the economic growth of BRICS. Diagnostics tests were conducted to ascertain the robustness and stability of the regression results. The findings reveal that stock market development exerts significant impact on the economic growth. The study revealed that there is a positive correlation between stock market development indicators and BRICS’s economic growth. The study recommends that the weakness of each of the BRICS member country should be taken as policy focus and strategies necessary to strengthen them should be swiftly applied by the governments.


Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-17 ◽  
Author(s):  
Dong-Rui Chen ◽  
Chuang Liu ◽  
Yi-Cheng Zhang ◽  
Zi-Ke Zhang

Understanding and predicting extreme turning points in the financial market, such as financial bubbles and crashes, has attracted much attention in recent years. Experimental observations of the superexponential increase of prices before crashes indicate the predictability of financial extremes. In this study, we aim to forecast extreme events in the stock market using 19-year time-series data (January 2000–December 2018) of the financial market, covering 12 kinds of worldwide stock indices. In addition, we propose an extremes indicator through the network, which is constructed from the price time series using a weighted visual graph algorithm. Experimental results on 12 stock indices show that the proposed indicators can predict financial extremes very well.


Complexity ◽  
2020 ◽  
Vol 2020 ◽  
pp. 1-18
Author(s):  
Shanglei Chai ◽  
Zhen Zhang ◽  
Mo Du ◽  
Lei Jiang

Financial internationalization leads to similar fluctuations and spillover effects in financial markets around the world, resulting in cross-border financial risks. This study examines comovements across G20 international stock markets while considering the volatility similarity and spillover effects. We provide a new approach using an ICA- (independent component analysis-) based ARMA-APARCH-M model to shed light on whether there are spillover effects among G20 stock markets with similar dynamics. Specifically, we first identify which G20 stock markets have similar volatility features using a fuzzy C-means time series clustering method and then investigate the dominant source of volatility spillovers using the ICA-based ARMA-APARCH-M model. The evidence has shown that the ICA method can more accurately capture market comovements with nonnormal distributions of the financial time series data by transforming the multivariate time series into statistically independent components (ICs). Our findings indicate that the G20 stock markets are clustered into three categories according to volatility similarity. There are spillover effects in stock market comovements of each group and the dominant source can be identified. This study has important implications for investors in international financial markets and for policymakers in G20 countries.


2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Richard T.R. Qiu ◽  
Anyu Liu ◽  
Jason L. Stienmetz ◽  
Yang Yu

Purpose The impact of demand fluctuation during crisis events is crucial to the dynamic pricing and revenue management tactics of the hospitality industry. The purpose of this paper is to improve the accuracy of hotel demand forecast during periods of crisis or volatility, taking the 2019 social unrest in Hong Kong as an example. Design/methodology/approach Crisis severity, approximated by social media data, is combined with traditional time-series models, including SARIMA, ETS and STL models. Models with and without the crisis severity intervention are evaluated to determine under which conditions a crisis severity measurement improves hotel demand forecasting accuracy. Findings Crisis severity is found to be an effective tool to improve the forecasting accuracy of hotel demand during crisis. When the market is volatile, the model with the severity measurement is more effective to reduce the forecasting error. When the time of the crisis lasts long enough for the time series model to capture the change, the performance of traditional time series model is much improved. The finding of this research is that the incorporating social media data does not universally improve the forecast accuracy. Hotels should select forecasting models accordingly during crises. Originality/value The originalities of the study are as follows. First, this is the first study to forecast hotel demand during a crisis which has valuable implications for the hospitality industry. Second, this is also the first attempt to introduce a crisis severity measurement, approximated by social media coverage, into the hotel demand forecasting practice thereby extending the application of big data in the hospitality literature.


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