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Using Emotional Markers’ Frequencies in Stock Market ARMAX-GARCH Model
Ch. 6. P. 61–72.
Porshnev A., Lakshina V. V., Редькин И. Е.
We analyze the possibility of improving the prediction of stock market indicators by adding information about public mood ex- pressed in Twitter posts. To estimate public mood, we analysed frequencies of 175 emotional markers - words, emoticons, acronyms and abbreviations - in more than two billion tweets collected via Twitter API over a period from 13.02.2013 to 22.04.2015. We explored the Granger causality relations between stock market returns of S&P500, DJIA, Apple, Google, Facebook, P zer and Exxon Mobil and emotional markers frequencies. We found that 17 emotional markers out of 175 are Granger causes of changes in returns without reverse e ect. These frequencies were tested by Bayes Information Criteria to determine whether they provide additional information to the baseline ARMAX-GARCH model. We found Twitter data can provide additional information and managed to improve prediction as compared to a model based solely on emotional markers.
In book
Vol. 1627. , Aachen: CEUR Workshop Proceedings, 2016.
Sizykh N., Кудрявцева Н. С., Управление большими системами: сборник трудов 2025 № 118 С. 250–285
Numerous studies in the field of forecasting securities prices, particularly stock prices, are aimed at finding more accurate and effective models. However, attention to multivariate forecasting, which allows for more accurate forecasts, remains underappreciated, as its implementation requires a significant increase in computing resources. Therefore, the selection of more simplified yet effective models is relevant. ...
Added: February 3, 2026
Morychev G., Sizykh D., Sizykh N., IEEE Access 2025 Vol. 13 P. 213194–213210
One of the main tools for analyzing large volumes of financial data is the use of clustering methods and models, which allow the identification of various patterns. This study examines the problem of clustering time series that reflect the behavior of prices, yields, modes, trends, and a number of related stock indicators. The relevance and ...
Added: February 3, 2026
Kosov M., Вестник экономической безопасности 2023 № 6 С. 213–221
The basis of the international financial market is foreign exchange flows arising from the functioning of the world economy. The main task of financial flows is to exchange the results of the activities of world economies. Therefore, the essence of the international financial market is to support the movement of foreign currency flows between financial ...
Added: October 22, 2025
Iudin I., Социологические исследования 2025 № 4 С. 140–146
The notion of market devices when applied to digital investment technologies suggests that they not only construct the stock market, but influence individuals’ behaviors as well. Current article aims to outline the types the types of Russian retail investors (lay participants of the stock market) based on the digital technologies and tools they use, as ...
Added: May 12, 2025
Khaziev G., Финансы и бизнес 2024 Т. 20 № 4 С. 57–78
This paper examines the the eff ectiveness of artifi cial intelligence models to detect manipulation of Russian stocks based on the authors’ sample of 866 manipulation cases over the period from 2012 to 2024. We build four artifi cial intelligence classifi cation models to fi nd the most eff ective method for manipulation detection: Logistic ...
Added: February 8, 2025
Sizykh D., Tregub K., Belyakov B. et al., , in: 2024 17th International Conference on Management of Large-Scale System Development (MLSD).: IEEE, 2024. P. 1–5.
Currently, a large number of studies are being conducted to improve the accuracy of the developed forecasting methods for the stock market. At the same time, multivariate models based on machine learning methods are increasingly used. Since liquidity indicators have a significant impact on asset pricing, taking them into account can improve the accuracy of ...
Added: January 15, 2025
Nazarova A., Malik M. S., Ignatov D. I. et al., Social Network Analysis and Mining 2024 Vol. 14 Article 228
Identifcation of threatening comments on social media platforms has recently gained attention. Prior approaches have addressed
this task in some low-resource languages but the interpretability of results was not studied. In addition, approaches in the English
language are minimal. To support explainable predictive inference, this research proposes an inherently explainable model for threat
comment identifcation on Twitter. The ...
Added: December 11, 2024
Свиридов О. И., Skorobogatov A., Прикладная эконометрика 2025 Т. 77 С. 5–24
Paper analyzes a causal link between oil price and the Russian stock market. One of the findings is that only price shocks related to economic activity or future oil supply expectations have persistent impacts on the stock market, while the effects of supply-related oil shocks are insignificant. In addition, jumps in oil price volatility have ...
Added: November 21, 2024
Lukianchenko P., Интеллектуальные системы в производстве 2023 Т. 21 № 4 С. 88–94
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Added: March 5, 2024
Malik M. S., Younas M. Z., Jamjoom M. M. et al., PeerJ Computer Science 2024 Vol. 10 Article e1859
Identification of infrastructure and human damage assessment tweets is beneficial to disaster management organizations as well as victims during a disaster. Most of the prior works focused on the detection of informative/situational tweets, and infrastructure damage, only one focused on human damage. This study presents a novel approach for detecting damage assessment tweets involving infrastructure ...
Added: February 16, 2024
Iudin I., Экономическая социология 2024 Т. 25 № 2 С. 58–87
The past decade saw a rapid increase in the number of retail investors. The number of people holding brokerage accounts in Russia increased from 1 million in 2012 up to 23 million in 2022. This was mostly due to the lower market entry barriers and the widespread adoption of mobile investment apps. This paper examines ...
Added: January 12, 2024
Bossman A., Gubareva M., Teplova T., Eurasian Economic Review 2023 Vol. 13 P. 321–372
The purpose of this study is to investigate the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and market sentiment (VIX) on European Union (EU) stocks by sectors of economic activity. The design and methodological approach of our research are rooted in parametric and nonparametric quantile-based techniques. We employ monthly data covering eleven sectors of economic activity ...
Added: January 8, 2024
Sizykh N., Natalia Dendeberova, Sizykh D., , in: 16th International Conference Management of large-scale system development (MLSD).: IEEE, 2023. P. 1–5.
An analysis of the performance indicators of index investment portfolios of the Russian Federation, the USA, Germany and China stock markets for 2012-2022 was carried out. The most effective methods for optimizing index portfolios have been identified. An analysis and comparison of factors influencing the efficiency of index portfolios of various stock markets was carried ...
Added: December 22, 2023
Khan R., Khan H. U., Faisal M. S. et al., International Journal of Computer Science and Information Security 2016 Vol. 14 No. 8 P. 1–10
Web mining analyzes web content, its usage and structure. The users’ behavior, interaction and generated content analysis have vast applications such as market analysis, social issues examination and study of human behavior. Twitter is a widely used social network that provides short message facility to its users to generate their own content. There are a ...
Added: November 29, 2023
Molodchik M., Гагарин А. С., Елтышев Р. А., Российский журнал менеджмента 2023 Т. 21 № 1 С. 5–22
Goal: the paper evaluates the impact of a company’s digital image on its value. Methodology: the authors use panel data analysis applied to a large array of information on the news of the 25 largest US medias, the Google Trends web application and the Twitter social network for the period from 2017 to 2022 for ...
Added: November 28, 2023
Nikiporets-Takigawa G., Digital Icons: Studies in Russian, Eurasian and Central European New Media 2013 No. 9 P. 1–25
This paper discusses the interaction between social media and the Russian 2011- 2013 protests. First, it critically observes the existing analytical work on the role of social media in movements worldwide, situating the Russian experience within this context. Sec- ondly, it examines sporadic facts and presuppositions by mapping and analysing a large num- ber of ...
Added: April 12, 2023
Sosnin A., Balakina Y. V., Jucovscaia A., Ezikov Svyat 2023 Vol. 21 No. 1 P. 96–109
The article implements an integrated approach to examining the mobilization potential of Twitter, which incorporates an analysis of intentions stated by the authors of hashtags and messages. The study cited in the article proceeds from J. Austin and J. Searle’s approach who argued that any utterance is essentially preparedness to perform an action, and examines ...
Added: February 27, 2023
Teplova T., Sokolova T., Fayzulin M. et al., М.: ИНФРА-М, 2022.
Монография научных сотрудников Центра финансовых исследований и анализа данных (ЦФИАнД) факультета экономических наук (ФЭН) НИУ ВШЭ впервые обобщает описанные в академической литературе эмпирические результаты тестирования различных гипотез о поведении инвестиционных активов под влиянием метрик инвестиционного внимания и сентимента, а также демонстрирует авторские приемы анализа текстовых сообщений в различных каналах коммуникаций. Представлен большой статистический материал по участию розничных инвесторов ...
Added: January 16, 2023
Dmitriev A., Lebedev A., Abbas N. et al., , in: AIP Conference Proceedings 2872: 11th Int’l Conference on Mathematical Modeling in Physical Sciences. Belgrade, Serbia, 5-8 September 2022.: AIP Publishing LLC, 2023. Ch. 080002 P. 1–12.
The research results devoted to the construction and analysis of the stochastic nonlinear dynamic system of
equations that simulate the self-organization of Twitter into the critical state are presented. A nonlinear dynamic system links three dynamic variables. The first variable corresponds to the order parameter determined by the average size of avalanches of microposts (tweets, retweets). The second ...
Added: December 10, 2022
Lapteva A., Скворцов О. Ю., Российский юридический журнал 2022 № 4 С. 110–120
The paper is devoted to the analysis of the investment regime of foreign securities admitted to the Russian stock market. The analysis is based on the postulate that domestic legislation regulates investment activity sector-by-sector or point-by-point. This also applies to such an area as the admission of Russian investors to purchase securities issued by foreign ...
Added: December 3, 2022
Stukal D., Sanovich S., Bonneau R. et al., American Political Science Review 2022 Vol. 116 No. 3 P. 843–857
There is abundant anecdotal evidence that nondemocratic regimes are harnessing new digital technologies known as social media bots to facilitate policy goals. However, few previous attempts have been made to systematically analyze the use of bots that are aimed at a domestic audience in autocratic regimes. We develop two alternative theoretical frameworks for predicting the ...
Added: November 14, 2022