Friday, January 7, 2011

Another Abstract On Twitter & Trading Results (SPY)

As pointed out to me by @Anal_yst  this abstract basically says everything i have been saying and action on for years now... the dumb money has caught the attention of so called smart money who realized by some genius savant means (sarcasm) users RTing tweets from users with large followings who generally produce above average information are providing outsized returns.... duh.

(Money Science writes) "Microblogging forums have become a vibrant online platform to exchange trading ideas and other stock-related information. Using methods from computational linguistics, we analyze roughly 250,000 stock-related microblogging messages, so-called tweets, on a daily basis. We find the sentiment (i.e., bullishness) of tweets to be associated with abnormal stock returns and message volume to predict next-day trading volume. 
In addition, we analyze the mechanism leading to efficient aggregation of information in microblogging forums. Our results demonstrate that users providing above average investment advice are retweeted (i.e., quoted) more often and have more followers, which amplifies their share of voice in microblogging forums."