Skip to main content
Top

2015 | OriginalPaper | Chapter

A Twitter View of the Brazilian Stock Exchange Market

Authors : Hugo S. Santos, Alberto H. F. Laender, Adriano C. M. Pereira

Published in: E-Commerce and Web Technologies

Publisher: Springer International Publishing

Activate our intelligent search to find suitable subject content or patents.

search-config
loading …

Abstract

In this paper, we present a view of the Brazilian stock exchange market based on a large characterization and analysis of Twitter data. In our analysis, we show that events and news about the stock market are capable of generating peaks of publications by Twitter users and that the frequency of posts follows the starting of the exchange trading day and maintains for about three hours after the stock market closing hour. Moreover, based on a survey conducted with a specific niche of Twitter users, we have been able to estimate that 0.5 % of those users have some knowledge of the Brazilian stock market and are mostly individual investors interested in publishing and consuming news about this market, having 45 % of them used Twitter as a source for investment decisions. Finally, we have observed that the total number of orders and the financial volume are positively correlated for 66 % of the stocks mentioned on Twitter, whereas the oscillation and maximum oscillation dimensions present no correlation.

Dont have a licence yet? Then find out more about our products and how to get one now:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Footnotes
3
Infomoney: Paraná’s governor vetoes through Twitter COPEL’s price realignments; stocks turn down - http://​goo.​gl/​T4YTEt
 
4
IBOVESPA stocks are responsible for 80 % of the BOVESPA financial movement.
 
7
 
8
Monetary and Exchange Commission - http://​www.​cvm.​gov.​br
 
Literature
1.
go back to reference Atsalakis, G.S., Valavanis, K.P.: Surveying stock market forecasting techniques - Part II: Soft computing methods. Expert Syst. Appl. 36(3), 5932–5941 (2009)CrossRef Atsalakis, G.S., Valavanis, K.P.: Surveying stock market forecasting techniques - Part II: Soft computing methods. Expert Syst. Appl. 36(3), 5932–5941 (2009)CrossRef
2.
go back to reference Martinez, L.C., da Hora, D.N., de M. Palotti, J.R., Meira Jr, W., Pappa, G.L.: From an artificial neural network to a stock market day-trading system: a case study on the BM&F BOVESPA. In: Proceedings of the International Joint Conference on Neural Networks, pp. 2006–2013 (2009) Martinez, L.C., da Hora, D.N., de M. Palotti, J.R., Meira Jr, W., Pappa, G.L.: From an artificial neural network to a stock market day-trading system: a case study on the BM&F BOVESPA. In: Proceedings of the International Joint Conference on Neural Networks, pp. 2006–2013 (2009)
3.
go back to reference Silva, E., Castilho, D., Pereira, A., Brando, H.: A neural network based approach to support the market making strategies in high-frequency trading. In: Proceedings of the International Joint Conference on Neural Networks, pp. 845–852 (2014) Silva, E., Castilho, D., Pereira, A., Brando, H.: A neural network based approach to support the market making strategies in high-frequency trading. In: Proceedings of the International Joint Conference on Neural Networks, pp. 845–852 (2014)
4.
go back to reference Fama, E.F., et al.: The adjustment of stock prices to new information. Int. Econ. Rev. 10(1), 1–21 (1969)CrossRef Fama, E.F., et al.: The adjustment of stock prices to new information. Int. Econ. Rev. 10(1), 1–21 (1969)CrossRef
5.
go back to reference Kwak, H., Lee, C., Park, H., Moon, S.: What is Twitter, a social network or a news media? In: Proceedings of the 19th International Conference on World Wide Web, pp. 591–600 (2010) Kwak, H., Lee, C., Park, H., Moon, S.: What is Twitter, a social network or a news media? In: Proceedings of the 19th International Conference on World Wide Web, pp. 591–600 (2010)
6.
go back to reference Maia, M., Almeida, J., Almeida, V.: Identifying user behavior in online social networks. In: Proceedings of the 1st Workshop on Social Network Systems, pp. 1–6 (2008) Maia, M., Almeida, J., Almeida, V.: Identifying user behavior in online social networks. In: Proceedings of the 1st Workshop on Social Network Systems, pp. 1–6 (2008)
7.
go back to reference Mislove, A., Marcon, M., Gummadi, K.P., Druschel, P., Bhattacharjee, B.: Measurement and analysis of online social networks. In: Proceedings of the 7th ACM SIGCOMM Conference on Internet Measurement, pp. 29–42 (2007) Mislove, A., Marcon, M., Gummadi, K.P., Druschel, P., Bhattacharjee, B.: Measurement and analysis of online social networks. In: Proceedings of the 7th ACM SIGCOMM Conference on Internet Measurement, pp. 29–42 (2007)
8.
go back to reference Zhang, W., Skiena, S.: Trading strategies to exploit blog and news sentiment. In: Proceedings of the Fourth International Conference on Weblogs and Social Media, pp. 375–378 (2010) Zhang, W., Skiena, S.: Trading strategies to exploit blog and news sentiment. In: Proceedings of the Fourth International Conference on Weblogs and Social Media, pp. 375–378 (2010)
9.
go back to reference Ruiz, E.J., Hristidis, V., Castillo, C., Gionis, A., Jaimes, A.: Correlating financial time series with micro-blogging activity. In: Proceedings of the Fifth ACM International Conference on Web Search and Data Mining, pp. 513–522 (2012) Ruiz, E.J., Hristidis, V., Castillo, C., Gionis, A., Jaimes, A.: Correlating financial time series with micro-blogging activity. In: Proceedings of the Fifth ACM International Conference on Web Search and Data Mining, pp. 513–522 (2012)
10.
go back to reference Gilbert, E., Karahalios, K.: Widespread worry and the stock market. In: Proceedings of the International Conference on Weblogs and Social Media, pp. 59–65 (2010) Gilbert, E., Karahalios, K.: Widespread worry and the stock market. In: Proceedings of the International Conference on Weblogs and Social Media, pp. 59–65 (2010)
11.
go back to reference Cha, M., Benevenuto, F., Haddadi, H., Gummadi, P.K.: The world of connections and information flow in Twitter. IEEE Trans. Syste., Man, Cybern., Part A 42(4), 991–998 (2012)CrossRef Cha, M., Benevenuto, F., Haddadi, H., Gummadi, P.K.: The world of connections and information flow in Twitter. IEEE Trans. Syste., Man, Cybern., Part A 42(4), 991–998 (2012)CrossRef
12.
go back to reference Sprenger, T.O., Tumasjan, A., Sandner, P.G., Welpe, I.M.: Tweets and trades: the information content of stock microblogs. Eur. Financ. Manag. 20, 926–957 (2013)CrossRef Sprenger, T.O., Tumasjan, A., Sandner, P.G., Welpe, I.M.: Tweets and trades: the information content of stock microblogs. Eur. Financ. Manag. 20, 926–957 (2013)CrossRef
13.
go back to reference Sharma, N.K., Ghosh, S., Benevenuto, F., Ganguly, N., Gummadi, K.: Inferring who-is-who in the Twitter social network. ACM SIGCOMM Comput. Commun. Rev. 42(4), 533–538 (2012)CrossRef Sharma, N.K., Ghosh, S., Benevenuto, F., Ganguly, N., Gummadi, K.: Inferring who-is-who in the Twitter social network. ACM SIGCOMM Comput. Commun. Rev. 42(4), 533–538 (2012)CrossRef
14.
go back to reference Cheong, M., Lee, V.: Integrating web-based intelligence retrieval and decision-making from the twitter trends knowledge base. In: Proceedings of the 2nd ACM Workshop on Social Web Search and Mining, pp. 1–8 (2009) Cheong, M., Lee, V.: Integrating web-based intelligence retrieval and decision-making from the twitter trends knowledge base. In: Proceedings of the 2nd ACM Workshop on Social Web Search and Mining, pp. 1–8 (2009)
15.
go back to reference Bollen, J., Mao, H., Zeng, X.: Twitter mood predicts the stock market. J. Comput. Sci. 2(1), 1–8 (2011)CrossRef Bollen, J., Mao, H., Zeng, X.: Twitter mood predicts the stock market. J. Comput. Sci. 2(1), 1–8 (2011)CrossRef
16.
go back to reference Sprenger, T.O.: Tweettrader.net: leveraging crowd wisdom in a stock microblogging forum. In: Proceedings of the International Conference on Weblogs and Social, The AAAI Press (2011) Sprenger, T.O.: Tweettrader.net: leveraging crowd wisdom in a stock microblogging forum. In: Proceedings of the International Conference on Weblogs and Social, The AAAI Press (2011)
17.
go back to reference Benevenuto, F., Magno, G., Rodrigues, T., Almeida, V.: Detecting spammers on Twitter. In: Proceedings of the 7th Collaboration, Electronic Messaging, Anti-Abuse and Spam Conference, July 2010 Benevenuto, F., Magno, G., Rodrigues, T., Almeida, V.: Detecting spammers on Twitter. In: Proceedings of the 7th Collaboration, Electronic Messaging, Anti-Abuse and Spam Conference, July 2010
18.
go back to reference Fama, E.F.: The behavior of stock-market prices. J. Bus. 38(1), 34–105 (1965)CrossRef Fama, E.F.: The behavior of stock-market prices. J. Bus. 38(1), 34–105 (1965)CrossRef
19.
go back to reference Zar, J.H.: Significance testing of the spearman rank correlation coefficient. J. Am. Statis. Assoc. 67(339), 578–580 (1972)CrossRefMATH Zar, J.H.: Significance testing of the spearman rank correlation coefficient. J. Am. Statis. Assoc. 67(339), 578–580 (1972)CrossRefMATH
20.
go back to reference Cohen, J., Cohen, P., West, S.G., Aiken, L.S.: Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences. Routledge, London (2013) Cohen, J., Cohen, P., West, S.G., Aiken, L.S.: Applied Multiple Regression/Correlation Analysis for the Behavioral Sciences. Routledge, London (2013)
Metadata
Title
A Twitter View of the Brazilian Stock Exchange Market
Authors
Hugo S. Santos
Alberto H. F. Laender
Adriano C. M. Pereira
Copyright Year
2015
DOI
https://doi.org/10.1007/978-3-319-27729-5_9

Premium Partner