Information fusion of stock prices and sentiment in social media using Granger causality.
Jintak ParkHenry LeungKing MaPublished in: MFI (2017)
Keyphrases
- information fusion
- stock price
- social media
- granger causality
- financial news
- stock market
- multivariate time series
- impulse response
- data fusion
- non stationary
- stock exchange
- error correction
- electricity consumption
- causal relationships
- historical data
- financial markets
- soft computing
- functional connectivity
- news articles
- data mining
- keywords
- bayesian networks
- standard deviation