You are using an outdated browser. Please upgrade your browser to improve your experience. Stock is a popular topic in Twitter. The authors investigate whether the number of tweets for a stock spikes around the earnings dates. In the data collection period, there are earnings days for the stocks that were considered.

Time difference in days from an earnings day to the closest day that has a Twitter volume spike. A negative value corresponds to the time difference to the closest Twitter volume spike in the past. Twitter volume spikes close to earnings days are likely due to the earnings days themselves.

Since earnings days are public information that people know beforehand, these Twitter volume spikes are no surprises. These spikes cannot be used in building a trading strategy as the price reflects them beforehand. Thus, the authors needed a way to determine if a certain spike was expected or not. Option implied volatility can be used as an indicator to determine whether a Twitter volume spike is expected or not, whether it is related to a scheduled event.

Assume that for a stock, a Twitter volume spike happens on day t. In this figure, average daily implied volatility is plotted for both short-term options, i. For short-term options, it can indeed be seen that the daily average implied volatility increases before t and decreases after t.

For longer-term options, the trend is not clear.

It was found out that Note that this percentage is a very conservative estimate and serves more like a lower bound, showing that a fair share of spikes are expected. The authors now investigate potential causes of Twitter volume spikes. Stock breakout point, 2. Intraday price change rate, 3. Interday price change rate, 4.

Earnings day, and 5. Stock option implied volatility. Twitter volume spike has the strongest correlation with earnings days with median of 0.

The correlation between Twitter volume spike and implied volatility has a median value of 0. Two trading strategies were developed, both using Twitter volume spikes as trading signals. For comparison, a baseline strategy that purchases a stock on a random day, and a strategy that uses trading volume spikes are considered.

To evaluate the strategy, the data from February 21, to October 19, was used as training data, and the data from October 20, to March 31, was used as test data.

Twitter volume spikes analysis and its application in trading - Shark Traders

This results in Twitter volume spikes in the training set, and Twitter volume spikes in the test set. The results of the above simple strategy are encouraging, indicating that Twitter volume spikes are indeed useful in stock trading. On the other hand, the strategy does not consider the trend of a stock.

So, the authors propose an enchanced strategy that takes trends into consideration. Search forward until a potential turning point is found, i. Set the current potential turning point to be an upward turning point. If the turning point is a upward turning point, go to Step 1a.

If the turning point is a downward turning point, go to Step 1b. Repeat until the end of the data set. A day with tweets ratio above K has a Twitter volume spike.

Thus, a factor of the price being near the upward turning point of the ZigZag is added to the strategy. This figure plots the fraction of the winning trades using the enhanced strategy.

For instance, when using intraday and interday price change rates, as much as We have sent you an email. Please, check your inbox to see if you have it. If the email is not there, fill out the form once again as you could enter wrong email address.

Twitter volume spikes

Open live account Demo request Support Center. Twitter volume spikes analysis and its application in trading. Twitter volume spikes analysis and its application in trading Disclaimer: We would like to thank them for this study. TWITTER VOLUME SPIKE ANALYSIS The authors investigate whether the number of tweets for a stock spikes around the earnings dates.

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Volume Spikes and Blowoffs - Technical Analysis

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