irfanICMLL/EMM-for-stock-prediction

We propose a model to analyze sentiment of online stock forum and use the information to predict stock volatility in the Chinese market. By generating a sentimental dictionary, we analyze the sentimental tendencies of each post as sentiment indicators. Such sentimental information will be fused with market data for prediction based on Recurrent Neural Networks (RNNs). We manually labeled the sentiment of forum post and make the data public available for research. Empirical evidence shows that 8 of the 10 stocks perform better with sentimental indicators.