Widespread Worry and the Stock Market

UPDATE: I have released the classifiers, R scripts and aggregate data from this paper. The archive has a README to get you started and some example Java showing how to use the classifiers. Get it here.

I have a new paper at ICWSM 2010. I’m really looking forward to all the great work in the program. The central thesis of my paper: estimating anxiety, worry and fear from blogs provides some novel information about future stock market prices.

ABSTRACT: Our emotional state influences our choices. Research on how it happens usually comes from the lab. We know relatively little about how real world emotions affect real world settings, like financial markets. Here, we demonstrate that estimating emotions from weblogs provides novel information about future stock market prices. That is, it provides information not already apparent from market data. Specifically, we estimate anxiety, worry and fear from a dataset of over 20 million posts made on the site LiveJournal. Using a Granger-causal framework, we find that increases in expressions of anxiety, evidenced by computationally-identified linguistic features, predict downward pressure on the S&P 500 index. We also present a confirmation of this result via Monte Carlo simulation. The findings show how the mood of millions in a large online community, even one that primarily discusses daily life, can anticipate changes in a seemingly unrelated system. Beyond this, the results suggest new ways to gauge public opinion and predict its impact.

pdf Widespread Worry and the Stock Market.
Proc. ICWSM, 2010.

This was posted Mar 13th, 2010 at 4:06 pm and is filed under paper, communities, nlp, quantitative. You can comment on this post or trackback from your own site.

3 comments

  1. Spencer

    Your paper “makes (your) heart jump”? Sell! Sell! SELL!!!

  2. jd long

    I think it is fantastic that you released data and code with your paper. This truly allows others to build on your ideas. Bravo!

  3. Ingatlan

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