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Analysing effect of Twitter, Oil Prices, Gold Prices and Foreign Exchange on S&P500 Using Machine Learning

Jain, Smit (2019) Analysing effect of Twitter, Oil Prices, Gold Prices and Foreign Exchange on S&P500 Using Machine Learning. Masters thesis, Dublin, National College of Ireland.

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Abstract

A country’s economic status can be judged majorly by the stock market’s performance. The performance of the companies registered with the stock market drives the performance of stock market index. Stock market’s performance impact the lives of the people, directly or indirectly, who invest in it. Forecasting the stock market is important from investor’s point of view to foresee the performance and analysing the trend. To analyse the SP500 index and the impact of other important factors like public sentiment (twitter analysis), oil & gold prices and foreign exchange; machine learning models have been implemented. The datasets used for modelling the datasets have been extracted from different data-sources like data of stock market has been collected from yahoo finance website and twitter tweets have been downloaded by running a command to extract tweets using anaconda prompt. With the help of Granger Causality tests, we have established which factors act as predictors for the stock market index significantly. Of all the implemented models, VAR has performed the best. For the evaluation of the model’s performance, different tests have been carried out like MSE, RMSE, MAE & MAPE etc.
Keywords: SP500, Stock Market, Twitter Sentiment Analysis, Forex, Oil and Gold price, Time-series, Forecasting, RNN

Item Type: Thesis (Masters)
Subjects: Q Science > QA Mathematics > Electronic computers. Computer science
T Technology > T Technology (General) > Information Technology > Electronic computers. Computer science

Q Science > QA Mathematics > Computer software
T Technology > T Technology (General) > Information Technology > Computer software

Z Bibliography. Library Science. Information Resources > ZA Information resources > ZA4150 Computer Network Resources > The Internet > World Wide Web > Websites > Online social networks
T Technology > TK Electrical engineering. Electronics. Nuclear engineering > Telecommunications > The Internet > World Wide Web > Websites > Online social networks

H Social Sciences > HG Finance > Investment > Stock Exchange
Divisions: School of Computing > Master of Science in Data Analytics
Depositing User: Dan English
Date Deposited: 15 Jun 2020 12:13
Last Modified: 15 Jun 2020 12:13
URI: http://norma.ncirl.ie/id/eprint/4285

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