• Corpus ID: 228373793

A Sentiment Analysis Approach to the Prediction of Market Volatility

  title={A Sentiment Analysis Approach to the Prediction of Market Volatility},
  author={Justina Deveikyte and H{\'e}lyette Geman and Carlo Piccari and Alessandro Provetti},
Prediction and quantification of future volatility and returns play an important role in financial modelling, both in portfolio optimization and risk management. Natural language processing today allows to process news and social media comments to detect signals of investors' confidence. We have explored the relationship between sentiment extracted from financial news and tweets and FTSE100 movements. We investigated the strength of the correlation between sentiment measures on a given day and… 

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