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A Study on Efficient Market Hypothesis to Predict Exchange Rate Trends Using Sentiment Analysis of Twitter Data
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 Title & Authors
A Study on Efficient Market Hypothesis to Predict Exchange Rate Trends Using Sentiment Analysis of Twitter Data
Komariah, Kokoy Siti; Machbub, Carmadi; Prihatmanto, Ary S.; Sin, Bong-Kee;
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Efficient Market Hypothesis (EMH), states that at any point in time in a liquid market security prices fully reflect all available information. This paper presents a study of proving the hypothesis through daily Twitter sentiments using the hybrid approach of the lexicon-based approach and the naïve Bayes classifier. In this research we analyze the currency exchange rate movement of Indonesia Rupiah vs US dollar as a way of testing the Efficient Market Hypothesis. In order to find a correlation between the prediction sentiments from Twitter data and the actual currency exchange rate trends we collect Twitter data every day and compute the overall sentiment to label them as positive or negative. Experimental results have shown 69% correct prediction of sentiment analysis and 65.7% correlation with positive sentiments. This implies that EMH is semi-strong Efficient Market Hypothesis, and that public information provide by Twitter sentiment correlate with changes in the exchange market trends.
Efficient Market Hypothesis;Predicting Exchange Rate Trends;Twitter Sentiment Analysis;Hybrid Approach;
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