Prediction Model of the Stock Market Index Using Twitter Sentiment Analysis

Stock market pred iction has been an interesting research topic for many years. Finding an efficient and effective means of predicting the stock market found its way in different social networking platforms such as Twitter. Studies have shown that public moods and sentiments can affect one’s opinion. This study explored the tweets of the Filipino public and its possible effects on the movement of the closing Index of the Philippine Stock Exchange. Sentiment Analysis was used in p rocessing individual tweets and determining its polarity either positive or negative. Tweets were given a positive and negative probability scores depending on the features that matched the trained classifier. Granger causality testing identified whether or not the past values of the Twitter t ime series were useful in pred icting the future price of the PSE Index. Two predict ion models were created based on the p-values and regression algorithms. The results suggested that the tweets collected using geo location and local news sources proved to be causative of the future values of the Philippine Stock Exchange closing Index.