Preface:
As a self proclaimed “market statistician”, I like to do a lot of random research, sometimes useful, sometimes not so useful.
Here is a post about some “not so useful” research I did. Though not so useful, the results are truly interesting.
The results of this analysis are, in my opinion, pertinent in a post GME and AMC world, where retail have gained huge momentum and presence within the market as a whole and have been able to even tackle hedge funds and win!
Purpose and Aim:
The aim of this was to identify whether Wallstreetbets (heretofore referred to as WSB) data had any meaningful impact on market mechanics, moves, volume etc.
I have been tracking WSB data for some time and have amassed a database of over 300 saved files, consisting of exactly 104 trading days of data.
This is a great amount to actually run analysis on and run some predictive tests!
The main questions I wanted answered are:
a) Does WSB data impacted market moves and Volume? If so,
b) Is WSB reactive to market moves (i.e. the market moves and the ticker trends); or
c) Is WSB proactive in moving the market (i.e. mentions increase and the market move follows).
These questions can be somewhat answered, albeit not flawlessly, using math.
Approach:
To analyze the data, I used:
a) Regression (simple linear);
b) Correlation;
c) Lagged correlation; and
d) Granger Causality
Tickers chosen
I quickly scripted an algorithm to scan through all of the 300+ WSB data and identify the top 10 tickers that were consistently mentioned across all saved data. The data Spans from mid 2024 to current.
The results were as follows, the top 10 tickers which were present in every single saved datafile were:
1 AAPL 104
2 AM 104
3 AMD 104
4 DTE 104
5 GOOG 104
6 MSFT 104
7 NVDA 104
8 PLTR 104
9 QQQ 104
10 SPY 104
Selection for Analysis were:
AAPL, AMD, PLTR and SPY
Raw Results:
AAPL
AMD
PLTR
SPY
Oh yeah, let’s see how retail competes with huge indices, this should be really good!
Explanations and Implications
The data presented is all incredibly “mathy”, but let’s break it down to what we can ascertain.
First and foremost, let’s outline the major limitations:
In this analysis, I used large cap stocks and limited to only 4 stocks. The results for these will be greatly different from, say, doing this on small cap or penny stocks (which will be a potential study next!).
As well, we are shy of 1 full year of trading data, which would have more impact on analysis. I do plan to repeat this study with approximately 1 full trading year of WSB data (i.e. 252 days).
So essentially 148 more days and I will have collected 1 full trading year for analysis.
Now that we have that out of the way, let’s discuss what we can say from these results, what we are unsure of and what are the implications for the broader group of traders, MMs and everyone in between.
What we Know
WSB logically has a strong relationship with trade volume. We can see that in most of the analyzed tickers. The correlations tend to be positive and tend to be substantial. More mentions (i.e more hype) leads to greater trade volume, likely as a result of people following the most mentioned or “hot” ideas on WSB.
This is not hard to fathom and its easy to accept as a logical consequence of trending tickers to a large audience of market participants ready to jump at anything.
What we are unsure of
This title is kind of a misnomer. While I phrase it as “what we are unsure of”, the fact remains that we can deduct that there is a significance and a relationship exists; but we can’t be sure as to how deep and profound this relationship extends, owning to the limited amount of data available.
But what we are unsure of is the extent to which WSB is impacting returns and market movement.
In 2 out of 4 tickers, we see that there is a pretty substantial lagged correlation between stock movement/returns and WSB trending status. This implies that WSB may be pushing market movement. However, in both of these cases, the results are short lived. This could be the result of either:
a) The greater market taking over and profit taking on the WSB pump; or
b) The WSBers taking profits themselves after pushing the stock in a direction.
The 2 cases were of AMD and SPY. The results indicated effect of roughly 2 consecutive days before tapering off.
The other 2 tickers, PLTR and AAPL, did not show a very strong relationship or evidence of WSB greatly impacting stock movement, but of WSBers likely “trend following” momentum.
What this means for the broader market?
Its no secret that retail is having a substantial impact on the market and changing the way market dynamics work.
For “experienced” or “senior” traders who have been trading for longer than 4 years, these people would tend to notice that the market dynamics have changed this year and have been changing slowly over the recent years.
One could offer the explanation of changing market sentiment; but perhaps the real explanation is an influx of retail and social media.
If you think about the number of “pump and dump” scams that were successful through the use of social media over the last few years, it’s not hard to believe that the advent of social media and easy access to markets can be a recipe for “disrupting” a routine and destabilizing the market that one once knew.
The NYSE is traded by millions worldwide. Its not just Americans participating, but those globally, leading to participants that surpass even the US population. As we advance in a global information highway that is the internet and social media, its not hard to rally forces to impact change, be it political or financial.
So what does this all mean?
The face of markets is changing and changing fast. No longer are markets strictly influenced by the elite, but by the average Joe who likes to read social media and buy a few options or shares. The implication is essentially the democratization of the market, removed from the grasps of the bourgeoisie and shifted to that of the layman.
Implications for Further Research
This should be repeated on low cap, low float, penny stocks to really analyze the impact of social media on markets and the implications of manipulation and “pump and dump” scams.
Thank you for reading!
This information is for interest sake only and not suggestive of any financial advice of suggestions.
Trade at your own risk and use your own strategies!
Used for this analysis:
R Language
Tradstie API
As a self proclaimed “market statistician”, I like to do a lot of random research, sometimes useful, sometimes not so useful.
Here is a post about some “not so useful” research I did. Though not so useful, the results are truly interesting.
The results of this analysis are, in my opinion, pertinent in a post GME and AMC world, where retail have gained huge momentum and presence within the market as a whole and have been able to even tackle hedge funds and win!
Purpose and Aim:
The aim of this was to identify whether Wallstreetbets (heretofore referred to as WSB) data had any meaningful impact on market mechanics, moves, volume etc.
I have been tracking WSB data for some time and have amassed a database of over 300 saved files, consisting of exactly 104 trading days of data.
This is a great amount to actually run analysis on and run some predictive tests!
The main questions I wanted answered are:
a) Does WSB data impacted market moves and Volume? If so,
b) Is WSB reactive to market moves (i.e. the market moves and the ticker trends); or
c) Is WSB proactive in moving the market (i.e. mentions increase and the market move follows).
These questions can be somewhat answered, albeit not flawlessly, using math.
Approach:
To analyze the data, I used:
a) Regression (simple linear);
b) Correlation;
c) Lagged correlation; and
d) Granger Causality
Tickers chosen
I quickly scripted an algorithm to scan through all of the 300+ WSB data and identify the top 10 tickers that were consistently mentioned across all saved data. The data Spans from mid 2024 to current.
The results were as follows, the top 10 tickers which were present in every single saved datafile were:
1 AAPL 104
2 AM 104
3 AMD 104
4 DTE 104
5 GOOG 104
6 MSFT 104
7 NVDA 104
8 PLTR 104
9 QQQ 104
10 SPY 104
Selection for Analysis were:
AAPL, AMD, PLTR and SPY
Raw Results:
AAPL AMD PLTRSPYOh yeah, let’s see how retail competes with huge indices, this should be really good!
Explanations and Implications
The data presented is all incredibly “mathy”, but let’s break it down to what we can ascertain.
First and foremost, let’s outline the major limitations:
In this analysis, I used large cap stocks and limited to only 4 stocks. The results for these will be greatly different from, say, doing this on small cap or penny stocks (which will be a potential study next!).
As well, we are shy of 1 full year of trading data, which would have more impact on analysis. I do plan to repeat this study with approximately 1 full trading year of WSB data (i.e. 252 days).
So essentially 148 more days and I will have collected 1 full trading year for analysis.
Now that we have that out of the way, let’s discuss what we can say from these results, what we are unsure of and what are the implications for the broader group of traders, MMs and everyone in between.
What we Know
WSB logically has a strong relationship with trade volume. We can see that in most of the analyzed tickers. The correlations tend to be positive and tend to be substantial. More mentions (i.e more hype) leads to greater trade volume, likely as a result of people following the most mentioned or “hot” ideas on WSB.
This is not hard to fathom and its easy to accept as a logical consequence of trending tickers to a large audience of market participants ready to jump at anything.
What we are unsure of
This title is kind of a misnomer. While I phrase it as “what we are unsure of”, the fact remains that we can deduct that there is a significance and a relationship exists; but we can’t be sure as to how deep and profound this relationship extends, owning to the limited amount of data available.
But what we are unsure of is the extent to which WSB is impacting returns and market movement.
In 2 out of 4 tickers, we see that there is a pretty substantial lagged correlation between stock movement/returns and WSB trending status. This implies that WSB may be pushing market movement. However, in both of these cases, the results are short lived. This could be the result of either:
a) The greater market taking over and profit taking on the WSB pump; or
b) The WSBers taking profits themselves after pushing the stock in a direction.
The 2 cases were of AMD and SPY. The results indicated effect of roughly 2 consecutive days before tapering off.
The other 2 tickers, PLTR and AAPL, did not show a very strong relationship or evidence of WSB greatly impacting stock movement, but of WSBers likely “trend following” momentum.
What this means for the broader market?
Its no secret that retail is having a substantial impact on the market and changing the way market dynamics work.
For “experienced” or “senior” traders who have been trading for longer than 4 years, these people would tend to notice that the market dynamics have changed this year and have been changing slowly over the recent years.
One could offer the explanation of changing market sentiment; but perhaps the real explanation is an influx of retail and social media.
If you think about the number of “pump and dump” scams that were successful through the use of social media over the last few years, it’s not hard to believe that the advent of social media and easy access to markets can be a recipe for “disrupting” a routine and destabilizing the market that one once knew.
The NYSE is traded by millions worldwide. Its not just Americans participating, but those globally, leading to participants that surpass even the US population. As we advance in a global information highway that is the internet and social media, its not hard to rally forces to impact change, be it political or financial.
So what does this all mean?
The face of markets is changing and changing fast. No longer are markets strictly influenced by the elite, but by the average Joe who likes to read social media and buy a few options or shares. The implication is essentially the democratization of the market, removed from the grasps of the bourgeoisie and shifted to that of the layman.
Implications for Further Research
This should be repeated on low cap, low float, penny stocks to really analyze the impact of social media on markets and the implications of manipulation and “pump and dump” scams.
Thank you for reading!
This information is for interest sake only and not suggestive of any financial advice of suggestions.
Trade at your own risk and use your own strategies!
Used for this analysis:
R Language
Tradstie API
Get:
- Live Updates,
- Discord access,
- Access to my Proprietary Merlin Software,
- Access to premium indicators,
patreon.com/steversteves
- Live Updates,
- Discord access,
- Access to my Proprietary Merlin Software,
- Access to premium indicators,
patreon.com/steversteves
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Get:
- Live Updates,
- Discord access,
- Access to my Proprietary Merlin Software,
- Access to premium indicators,
patreon.com/steversteves
- Live Updates,
- Discord access,
- Access to my Proprietary Merlin Software,
- Access to premium indicators,
patreon.com/steversteves
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.