Papers › Unleashing Expert Opinion from Social Media for Stock Prediction
Unleashing Expert Opinion from Social Media for Stock Prediction
Wanyun Zhou, Saizhuo Wang, Xiang Li, Yiyan Qi, Jian Guo, Xiaowen Chu
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While stock prediction task traditionally relies on volume-price and fundamental data to predict the return ratio or price movement trend, sentiment factors derived from social media platforms such as StockTwits offer a complementary and useful source of real-time market information. However, we find that most social media posts, along with the public sentiment they reflect, provide limited value for trading predictions due to their noisy nature. To tackle this, we propose a novel dynamic expert tracing algorithm that filters out non-informative posts and identifies both true and inverse experts whose consistent predictions can serve as valuable trading signals. Our approach achieves significant improvements over existing expert identification methods in stock trend prediction. However, when using binary expert predictions to predict the return ratio, similar to all other expert identification methods, our approach faces a common challenge of signal sparsity with expert signals cover only about 4% of all stock-day combinations in our dataset. To address this challenge, we propose a dual graph attention neural network that effectively propagates expert signals across related stocks, enabling accurate prediction of return ratios and significantly increasing signal coverage. Empirical results show that our propagated expert-based signals not only exhibit strong predictive power independently but also work synergistically with traditional financial features. These combined signals significantly outperform representative baseline models in all quant-related metrics including predictive accuracy, return metrics, and correlation metrics, resulting in more robust investment strategies. We hope this work inspires further research into leveraging social media data for enhancing quantitative investment strategies. The code can be seen in https://github.com/wanyunzh/DualGAT.
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