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A Tweet-based Dataset for Company-Level Stock Return Prediction
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Public opinion influences events, especially related to stock market movement, in which a subtle hint can influence the local outcome of the market. In this paper, we present a dataset that allows for company-level analysis of tweet based impact on one-, two-, three-, and seven-day stock returns. Our dataset consists of 862, 231 labelled instances from twitter in English, we also release a cleaned subset of 85, 176 labelled instances to the community. We also provide baselines using standard machine learning algorithms and a multi-view learning based approach that makes use of different types of features. Our dataset, scripts and models are publicly available at: https://github.com/ImperialNLP/stockreturnpred.
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Cited by 1 Pith paper
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Event-Aware Sentiment Factors from LLM-Augmented Financial Tweets: A Transparent Framework for Interpretable Quant Trading
LLM event tags on tweets are said to form contrarian alpha factors, but the results look like in-sample fits with inconsistent statistics.
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