TY  - EJOU
AU  - Juan, J. Piñeiro-Chousa
AU  - Ángeles, Á. López-Cabarcos M
AU  - Ada M, A. Pérez-Pico
AU  - Marcos, M. Vizcaíno-González
TI  - Analyzing Microblogging Activity and Stock Market Behavior through Artificial Neural Networks
T2  - Journal of Business Accounting and Finance Perspectives

PY  - 2020
VL  - 2
IS  - 2
SN  - 2603-7475

AB  - This paper attempts to analyze the relationship between social network activity (message sentiment) and stock market (trading volume and risk premium). We used Artificial Neural Networks to analyze 87,511 stock-related microblogging messages related to S&P500 Index posted between October 2009 and October 2014. The results obtained suggest that there is a direct relationship between trading volume and negative sentiment, and between risk premium and negative sentiment. The paper concludes with several directions for future research.
KW  - microblog sentiment
KW  - S&P500
KW  - multi-layer perceptron neural network
KW  - Stanford CoreNLP Natural Language Processing
KW  - financial markets
DO  - 10.35995/jbafp2020010