May, 2018 - Context Analytics

A Returns Analysis on StockTwits Sentiment Metrics

May 27, 2018

This paper discusses the analysis of a Returns Study done on US Equities using social media sentiment factors from Social Market Analytics (SMA) in a single factor trading model environment. In a comparison to a market reference on a long only strategy, the results indicate an outperformance in returns for positive sentiment stocks and an […]

Application Of Sentiment Analytics To Fama-French Model

May 27, 2018

In this paper we expand on the Liew (2016) paper exploring the predictive power of StockTwits based sentiment data. We postulate that using a fine grain text analytics approach on social media posts is a better representative of the sentiment factor. This new model shows improvement in both Fama French 5 Factor Model and the […]

UIUC Bitcoin Trading System Practicum Presentation

May 3, 2018

Every year Social Market Analytics (SMA) is proud to work with the University of Illinois Masters of Science in Financial Engineering Students on a practicum project. In the past we have explored looking at sentiment to predict the VIX, enhancements to traditional indexes and smart beta ETF's. This year we decided to tackle the most […]

©2022 - Context Analytcs | All right reserved | Terms and conditions