Banca de DEFESA: GILSON DA SILVA VASCONCELOS

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
DISCENTE : GILSON DA SILVA VASCONCELOS
DATA : 23/10/2023
HORA: 09:00
LOCAL: Video Conferência
TÍTULO:

THE INFLUENCE OF TWEETS SENTIMENT TO PREDICT IBOVESPA STOCKS

PALAVRAS-CHAVES:

Sentiment Index; IBOVESPA forecast; Technical Indicators; Twitter

PÁGINAS: 45
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Economia
RESUMO:

This dissertation aims, through the sentiment index created by Medeiros et al (2023), to verify through Twitter the forecast return of VALE3, PETR4 and BBSA3 shares, as it is noticeable that textual data has been the focus of several studies academics, in order to identify the effect that the sentiment of words has for the investor, when it comes to stock market returns. This textual information is available through various information media
such as Twitter, through tweets, which can be extracted through its API, as a way of finding information for a given subject. The process of analyzing sentiment indices was compared with technical analyzes to verify whether historical data (benchmark) is more or less representative when compared to Twitter sentiment indices. Furthermore, the investor's utility gain was calculated when he chooses to use sentiment instead of historical models. For this, daily frequency data was used starting from January 1, 2007 to January 4, 2022, which has 1830 observations. With this, information was obtained from Twitter, as well as newspaper news and ChatGPT with a focus on financial news.
The results obtained were that for the VALE3 and BBSA3 shares, Twitter sentiment managed to surpass some technical predictors, but PETR4 had better results in technical models than in the sentiment indices. ChatGPT performed well when used with a dictionary with time-varying words. Even so, predictors based on VALE3, PETR4, BBSA3 indicators mostly performed better than some technical indicators, taking Twitter into account.

MEMBROS DA BANCA:
Externo à Instituição - DIEGO PITTA DE JESUS
Presidente - 056.549.504-60 - LUCAS LÚCIO GODEIRO - UFERSA
Interna - 3295 - MARIA ELZA DE ANDRADE