The Power of Micro-Blogging: How to Use Twitter to Predict the Stock Market

The availability of new data and techniques enriched the existing extensive literature on the importance of investors’ sentiment and on his impact of the stock price oscillations. The purpose of this paper is to exploit micro-blogging data in order to construct a new index-tracking variable that may be used to earn some insights on the Nasdaq-100’s future movements. The results are promising: the models augmented with the newly created variable show an incremented explanatory power with respect to the benchmark.