Extracting Alpha Information from Social Media Sentiment Data

In recent years, sentiments accumulated on social media have received considerable attention as predictive indicators for asset markets. Sentiment indicators are often appealing to investors since financial markets are known to be influenced not only by economic fundamentals but also by emotions. Twitter has drawn most attention as a source to derive research insights from […]

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Decreasing Number of Messages about S&P 500 in Social Media indicates falling Stock Prices

For this research study we use messages collected in social media about the S&P 500 index. Based on our buzz indicator (communication intensity) we conducted an analysis on the effect of message volume on price movement of the S&P 500 future index. The period of our analysis ranges from January 1st, 2012 until February 2017. […]

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