4 ACCESSING TWITTER DATA
4.3 Relationships explored in the study based on the evaluation of Twitter data
Forty-four financial-instrument/Twitter-Filter combinations were set-up to collect social media data using the TCF. With regards to the Hypothesis One (see Chapter 1.3), these financial-instrument/Twitter-Filter combinations were used to answer the following questions:
1. What is the relationship between a random sample of Tweets deemed to be from the US, and the returns of a leading US stock index, specifically the S&P500? 2. What is the relationship between a random sample Tweets deemed to be from
the UK, and returns of a leading UK stock index, specifically the FTSE100?
To evaluate these relationships, the sentiments and message volumes of string-unfiltered Tweets from the UK were evaluated against returns of FTSE100 Futuresa and CFDsb. Similarly, the sentiments and message volumes of string-unfiltered Tweets from the US were evaluated against returns of S&P500 Futures and CFDs. Price data for Futures were obtained from Fulcrum Asset Managementc. Price data for CFDs were obtained from the Swiss foreign-exchange bank and marketplace Dukascopyd.
With regards to Hypothesis Two (see Chapter 1.3), the aforementioned financial- instrument/Twitter-Filter combinations were used to answer the following questions:
1. What are the relationships between the sentiments and message volumes of Tweets filtered by the following currency pairs, and their returns: GBPUSD and EURGBP?
a This is a market-tradable financial contract between two parties to buy or sell a specified asset at a price
agreed upon today, but with delivery and payment occurring in the future.
b
CFD (or Contract For Difference) is a market-tradable financial contract between two parties to exchange the difference between the current value of a specified asset and its value at a contract time. It is used to speculate about the underlying asset’s price movement without the need to own the asset itself.
chttp://www.fulcrumasset.com/
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2. What are the relationships between the sentiments and message volumes of Tweets filtered by the top constituents of the S&P500, and the top constituents of the Dow Jones Industrial Average, and their returns?
To evaluate the relationships of the currency pair exchange rates with Twitter data, two string-based Twitter filters were set-up to monitor for mentions of “$GBPUSD” and “$EURUSD”a
. The sentiments and volumes of these messages were evaluated against the returns of their respective currency pairs, both for Futures prices and CFD prices (provided by Fulcrum Asset Management and Dukascopy, respectively).
To evaluate the relationships of the returns of the top constituents of the S&P500 and the Dow Jones Industrial Average, a series of string-based Twitter filters were set-up to filter Tweets mentioning the aforementioned assets’ industry Ticker-IDs, as according to Table 1. Another set of Twitter filters was set-up to filter Tweets mentioning these assets’ industry Ticker-IDs AND/OR their Company Names. In each case, the sentiments and message volumes of the data produces by these Twitter filters were evaluated against the returns the respective securities’ CFDs.
For certain companies, it was necessary to include alternative-spellings for the companies’ names. For example, for the company Coca-Cola, Co., a Twitter filter was used to filter in all Tweets which matched either “Coca-Cola” OR “Coca Cola” since both versions are used to refer to this company. This was made especially necessary since Twitter’s search API does not support wildcard matchingb
.
a
Here, the “$” symbol is used in the financial industry to denote a particular tradable asset via the use of its industry ticker. For example, the industry ticker for the shares of Apple, Inc. is “$AAPL”.
b A wildcard (“*”) is a character which can be used as a substitute for any of a defined subset of possible
characters. For example, the string “heat**” could match the words “heated” and “heater”, if wildcard filtering were permitted on Twitter’s network.
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Filter
ID Instrument Filter type Filter
1 Apple, Inc. CFDs Ticker-ID AND/OR Company Name $AAPL AND/OR “Apple” 2 Apple, Inc. CFDs Ticker-ID $AAPL
3 Amazon.com, Inc. CFDs Ticker-ID AND/OR Company Name $AMZN AND/OR “Amazon” 4 Amazon.com, Inc. CFDs Ticker-ID $AMZN
5 American Express, Co. CFDs Ticker-ID AND/OR Company Name $AXP AND/OR “American Express” 6 Bank of America, Corp. CFDs Ticker-ID AND/OR Company Name $BAC AND/OR “Bank of America” 7 Bank of America, Corp. CFDs Ticker-ID $BAC
8 Cisco Systems, Inc. CFDs Ticker-ID AND/OR Company Name $CSCO AND/OR “Cisco”
9 EURUSD CFDs Ticker-ID $EURUSD
10 EURUSD Futures Ticker-ID $EURUSD
11 GBPUSD CFDs Ticker-ID $GBPUSD
12 GBPUSD Futures Ticker-ID $GBPUSD
13 General Electric, Co. CFDs Ticker-ID AND/OR Company Name $GE AND/OR “GE” AND/OR “General Electric” 14 General Electric, Co. CFDs Ticker-ID $GE
15 Google, Inc. CFDs Ticker-ID AND/OR Company Name $GOOG AND/OR “Google” 16 Google, Inc. CFDs Ticker-ID $GOOG
17 The Home Depot, Inc. CFDs Ticker-ID AND/OR Company Name $HD AND/OR “Home Depot” 18 Hewlett Packard, Co. CFDs Ticker-ID AND/OR Company Name $HPQ AND/OR “Hewlett-Packard”
AND/OR “Hewlett Packard” 19 Hewlett Packard, Co. CFDs Ticker-ID $HPQ
20 IBM, Corp. CFDs Ticker-ID AND/OR Company Name $IBM AND/OR “IBM”
21 IBM, Corp. CFDs Ticker-ID $IBM
22 Intel, Corp. CFDs Ticker-ID AND/OR Company Name $INTC AND/OR “Intel” 23 Intel, Corp. CFDs Ticker-ID $INTC
24 Johnson & Johnson, Co. CFDs Ticker-ID AND/OR Company Name $JNJ AND/OR “Johnson & Johnson” AND/OR “Johnson and Johnson” 25 J.P. Morgan, Inc. CFDs Ticker-ID AND/OR Company Name $JPM AND/OR “JPMorgan” AND/OR “JP Morgan” 26 J.P. Morgan, Inc. CFDs Ticker-ID $JPM
27 Coca-Cola, Co. CFDs Ticker-ID AND/OR Company Name $KO AND/OR “Coca-Cola” AND/OR “Coca Cola” 28 Coca-Cola, Co. CFDs Ticker-ID $KO
29 McDonald’s, Corp. CFDs Ticker-ID AND/OR Company Name $MCD AND/OR “McDonald’s” AND/OR “McDonalds” 30 McDonald’s, Corp. CFDs Ticker-ID $MCD
31 3M, Co. CFDs Ticker-ID AND/OR Company Name $MMM AND/OR “3M” 32 Microsoft, Corp. CFDs Ticker-ID AND/OR Company Name $MSFT AND/OR “Microsoft” 33 Microsoft, Corp. CFDs Ticker-ID $MSFT
34 Oracle, Corp. CFDs Ticker-ID & Company Name $ORCL AND/OR “Oracle” 35 Oracle, Corp. CFDs Ticker-ID $ORCL
36 FTSE100 Index CFDs UK Geo via coordinate-matching String-unfiltered UK Tweets 37 FTSE100 Index Futures UK Geo via coordinate-matching String-unfiltered UK Tweets 38 S&P500 Index CFDs US Geo via coordinate-matching String-unfiltered US Tweets 39 S&P500 Index Futures US Geo via coordinate-matching String-unfiltered US Tweets 40 AT&T, Inc. CFDs Ticker-ID AND/OR Company Name $T AND/OR “AT&T” 41 AT&T, Inc. CFDs Ticker-ID $T
42 Wal-Mart, Inc. CFDs Ticker-ID AND/OR Company Name $WMT AND/OR “Wal-Mart” AND/OR “Wal Mart” 43 Exxon Mobil, Corp. CFDs Ticker-ID AND/OR Company Name $XOM AND/OR “Exxon Mobil” 44 Exxon Mobil, Corp. CFDs Ticker-ID $XOM
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