March, 2015 - Context Analytics

Is Social Media a Proxy for Momentum & Does it Lead or Lag the Market?

March 23, 2015

Social media is a unique form of information dissemination. To illustrate the unique signal represented from social media a partner of ours, Markit, did a study to look at the correlation of social media based factors with traditional financial factors. The resultant table below illustrates the unique information being presented with social media signals. As you […]

Predictive Power of Social Media data in Sectors

March 3, 2015

Below is the out-of-sample cumulative open to close return chart for stocks with extreme sentiment scores prior to market open. As you can see from the chart stocks with high sentiment scores (SMA S-Score > 2) subsequently outperform while stocks with low sentiment scores (S-Score <-2) subsequently underperform. The benchmarks in this chart are the S&P […]

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