A User-Centric Analysis of Social Media for Stock Market Prediction
Bibliographic record
Abstract
Social media platforms such as Twitter or StockTwits are widely used for sharing stock market opinions between investors, traders, and entrepreneurs. Empirically, previous work has shown that the content posted on these social media platforms can be leveraged to predict various aspects of stock market performance. Nonetheless, actors on these social media platforms may not always have altruistic motivations and may instead seek to influence stock trading behavior through the (potentially misleading) information they post. While a lot of previous work has sought to analyze how social media can be used to predict the stock market, there remain many questions regarding the quality of the predictions and the behavior of active users on these platforms. To this end, this article seeks to address a number of open research questions: Which social media platform is more predictive of stock performance? What posted content is actually predictive, and over what time horizon? How does stock market posting behavior vary among different users? Are all users trustworthy or do some user’s predictions consistently mislead about the true stock movement? To answer these questions, we analyzed data from Twitter and StockTwits covering almost 5 years of posted messages spanning 2015 to 2019. The results of this large-scale study provide a number of important insights among which we present the following: (i) StockTwits is a more predictive source of information than Twitter, leading us to focus our analysis on StockTwits; (ii) on StockTwits, users’ self-labeled sentiments are correlated with the stock market but are only slightly predictive in aggregate over the short-term; (iii) there are at least three clear types of temporal predictive behavior for users over a 144 days horizon: short, medium, and long term; and (iv) consistently incorrect users who are reliably wrong tend to exhibit what we conjecture to be “botlike” post content and their removal from the data tends to improve stock market predictions from self-labeled content.
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How this classification was reachedexpand
Full frame machine prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. The Gemma side is a direct model label for every work in the frame, read from the title-only record. The Codex side is a classifier learned from the 10,348 direct Codex labels and calibrated to design-weighted sample rates; fields without enough sample support carry no Codex call. Candidate is the union of the two sides; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels.
Distilled classifier scores by category (both heads)
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.006 |
| Meta-epidemiology (narrow) | 0.001 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.001 |
| Bibliometrics | 0.004 | 0.002 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.001 | 0.002 |
| Open science | 0.000 | 0.001 |
| Research integrity | 0.001 | 0.001 |
| Insufficient payload (model declined to judge) | 0.001 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one source (direct Gemma or distilled Codex), not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".