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Real-Time Diffusion Of Information On Twitter And The Financial Markets, Ali Tafti, Ryan Zotti, Wolfgang Jank
Real-Time Diffusion Of Information On Twitter And The Financial Markets, Ali Tafti, Ryan Zotti, Wolfgang Jank
School of Information Systems and Management Faculty Publications
Do spikes in Twitter chatter about a firm precede unusual stock market trading activity for that firm? If so, Twitter activity may provide useful information about impending financial market activity in real-time. We study the real-time relationship between chatter on Twitter and the stock trading volume of 96 firms listed on the Nasdaq 100, during 193 days of trading in the period from May 21, 2012 to September 18, 2013. We identify observations featuring firm-specific spikes in Twitter activity, and randomly assign each observation to a ten-minute increment matching on the firm and a number of repeating time indicators. We …