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Stock exchange is a fascinating subject for researchers because it can be studied from many points of views: economics (mother discipline1), computer science (model and analyze data), psychology (understand behaviors), politics, etc. Modern stock market has completely changed the way to buy and sell financial assets. Internet and computers now allow a real-time access to financial markets and the amount of available data (directly related to stock markets or not) is increasing day after day, especially with social medias where people can discuss and react about new information and give their opinions about the market. Therefore, in modern stock market approaches, we have to analyze more and more data, which is quasi-impossible without some kinds of summarization and/or interpretation. And even if we could correctly interpret all available information, the strong version of the Efficient Market Hypothesis (EMH) (Fama, 1965) states that it’s impossible to beat the market over the long term. Does that mean that trying to predict future stock values is a lost fight? Bollen et al. have shown that twitter mood is a good indicator to predict stock market (Bollen, Mao, & Zeng, 2011) and there are many other works that show the lacks of the EMH (see RELATED WORKS).
Our experiments go in this direction: we try to predict the French CAC40 stock market index which represents the 40 more important values in term of market capitalization. The goal of this paper is to study the correlation between public opinions extracted from Twitter and the French stock market. We know that social media information is sometime subjective and therefore we also measure the subjectivity in order to discover if this aspect is correlated with stock market fluctuations.
The remaining part of this paper is organized as follows. Section 1 presents the related works. Section 2 focuses on our methodology for social media (Twitter) analysis and French stock market prediction. Section 3 describes the experiments and presents our results. Finally we conclude and give some perspectives for future works.