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Home » Connors Research Traders Journal (Volume 32): “Momentum, Mean Reversion, and Social Media: Evidence From StockTwits and Twitter”

Connors Research Traders Journal (Volume 32): “Momentum, Mean Reversion, and Social Media: Evidence From StockTwits and Twitter”

November 9, 2018 by Larry Connors

For the past few years, there’s been on-going interest in whether Social Media, especially Twitter, can be used to predict short-term movement in stocks. At least one fund was created that I know of (after a good first month they got very quiet), along with a number of data and software services which now provide social media sentiment readings to traders.

There have only been a few good studies done on this topic. Most of the articles I’ve seen have been written by the data and software vendors. Other articles have been written but the look-back periods were small and the data techniques applied were spotty at best.

We can all see volatility and volume increase when stocks get spikes in social media mentions. Today I want to share with you an academic study that takes the strategy of trading with social media further.

One of the authors is Professor Andrew Lo. Andy is one of the fathers of quantitative finance at MIT and has had a profound influence on a generation of professional quantitative traders. Anything written by Andy Lo is worth reading and studying because he’s one of the leading minds in quantitative finance.

Here’s the link to the study, “Momentum, Mean Reversion, and Social Media: Evidence From StockTwits and Twitter“.  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3197874

I hope you enjoy and learn from this issue of the Connors Research Traders Journal.

Larry Connors

Connors Research, LLC.

P.S. My new book Buy the Fear, Sell the Greed – 7 Behavioral Quant Strategies for Traders, is now available. Click here to order your copy today.

Filed Under: Connors Research, Connors Research Newsletter, Connors Research Traders Journal, Recent Tagged With: Connors Research, Connors Research Traders Journal, Mean Reversion, momentum, social media, twitter

About Larry Connors

Larry Connors has over 30 years in the financial markets industry. His opinions have been featured at the Wall Street Journal, Bloomberg, Dow Jones, & many others. For over 15 years, Larry Connors and now Connors Research has provided the highest-quality, data-driven research on trading for individual investors, hedge funds, proprietary trading firms, and bank trading desks around the world.

Larry has been published extensively, with titles like How Markets Really Work, Short Term Trading Strategies That Work, High Probability ETF Trading, and The Connors Research Trading Strategy Series including our latest Guidebook High Probability Trading with Multiple Up & Down Days.

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