Profound Impact of Social Sentiment on Pairwise Correlation Structure (whitepaper)

BY TYNAN OVERSTREET

We find that future intraday pair-wise correlations are profoundly affected by social media activity. Specifically, this paper describes the existence of a triangular relationship between social activity and correlation whereby the social activity of the SPY exchange traded fund (ETF) acts as a statistical switch, influencing the relationship between the pair’s correlation and their individual levels of social activity.

“Using social media data-streams such as the Hive-Mind can significantly improve our understanding of the time evolution of correlation.”