Date of Submission
Spring 2020
Academic Program
Mathematics
Project Advisor 1
Sven Anderson
Project Advisor 2
Japheth Wood
Abstract/Artist's Statement
We apply sentiment analysis to correlate price movement for two financial indices with sentiment expressed on Twitter by a select group of 93 influential financial users. We gathered close prices for the VIX and SPX indices for one month from March through April 2020 during the early stage of the COVID-19 pandemic in the U.S. as schools and businesses shut down. Tweets were also gathered during this period, although there is a large gap in collected tweets of about two weeks. We examine correlations based on five temporal resolutions from 60 minutes to 1440, which is equivalently one day.. We also used temporal offsets to analyze the correlation between relatively future price movements and current tweet sentiment. We discovered that there are small correlations suggesting Twitter sentiment may be correlated with future VIX movement.
Open Access Agreement
Open Access
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
Recommended Citation
Lester, Jacob Edelstein, "Relating Sentiment Expressed by Financial Twitter Accounts and Financial Index Price Movement" (2020). Senior Projects Spring 2020. 127.
https://digitalcommons.bard.edu/senproj_s2020/127
This work is protected by a Creative Commons license. Any use not permitted under that license is prohibited.