Stock Market Prediction Exploiting Microblog Sentiment Analysis

This paper proposes a stock market prediction method exploiting sentiment analysis using financial microblogs (Sina Weibo). We analyze the microblog texts to find the financial sentiments, then combine the sentiments and the historical data of the Shanghai Composite Index (SH000001) to predict the stock market movements. Our framework includes three modules: Microblog Filter (MF), Sentiment Analysis (SA), and Stock Prediction (SP). The MF module is based on LDA to get the financial microblogs. The SA module first sets up a financial lexicon, then gets the sentiments of the microblogs obtained from the MF module. The SP module proposes a user-group model which adjusts the importance of different people, and combines it with stock historical data to predict the movement of the SH000001. We use about 6.1 million microblogs to test our method, and the result demonstrates our method is effective.