Uncategorized - Context Analytics

Weekly S-Volume Lookback for Daily Trading

July 28, 2022

The goal of this research project was to aggregate sentiment factors to maximize future stock returns. The factor used for this project was an aggregate of S-Volume, which is the raw number of indicative Tweets in the previous 24 hours by company. Sentiment data is taken from the 3:40 PM ET timestamp (20 minutes before […]

GMRF Increases Coverage to Include ESG Documents

July 18, 2022

Social Market Analytics released U.S. Machine Readable Filings (MRF) in partnership with S&P Global Market Intelligence in April 2020. Machine Readable Filings is the first product to provide parsed textual data of SEC Edgar Regulatory Filings at the Document, Part, Item, Section, and Notes level with historical baselines back to 2006. Global Machine Readable Filings (GMRF) was released in April 2021 […]

Alpha Around the World: Insights into Global Annual Reports

November 1, 2021

Social Market Analytics (SMA) has created the Global Machine Readable Filings (GMRF) dataset in partnership with S&P Global Market Intelligence. GMRF provides parsed textual data broken down to sections along with metrics like word count and sentiment on annual and interim reports for companies around the world. Extraneous information such as images, tables, and page […]

S-Score's Performance on Recent Earnings

September 14, 2021

In this analysis we are testing whether SMA’s S-Factor data is accurate predicting price movements in equities during earnings season. The dataset we look at includes all US Equities in SMA’s universe, covering over 4,500 equites, that released earnings between 1/13/2020 and 8/16/2021. We first looked at Open-to-Close returns after earnings have been released. […]

Global MRF - The First of its Kind

July 28, 2021

Social Market Analytics, Inc. (SMA) in April 2021 released Global Machine Readable Filings (GMRF) in partnership with S&P Global Market Intelligence. Global Machine Readable Filings is the first product to provide parsed textual data of over 200 Countries Company Annual Reports, Quarterly Report, Semi-Annual and Financial Supplements across ~1.6M documents. This blog will explore details […]

How MRF Filings Improves on Raw Edgar Downloads

February 1, 2021

Social Market Analytics, Inc. (SMA) has partnered with S&P Global Market Intelligence to create Machine Readable Filings (MRF), which provides textual data of U.S. Securities and Exchange Commission (SEC) EDGAR filings broken down to sub-levels with text underneath. Textual data is parsed to create historical baselines for 10-Ks, 10-Qs, 8-Ks, 20-Fs and other filings. This […]

SMA Futures Data Sanities

January 4, 2021

This blog will explore the predictive nature of our Futures Twitter based sentiment factors. We calculate real time predictive sentiment on 106 futures. Although factors calculated are identical to equity-based S-factors the NLP is unique because conversations on futures vary significantly based on asset classes. For example, an oil refinery fire is going to be […]

Crypto Currency Market Index

October 13, 2020

We are often asked about broad market indicators for different asset classes. Recently Koby finished some research on a Crypto Currency broad market indicator that is predictive of future Bitcoin prices. We call this indicator the Crypto Market Score (CMS). For the CMS we take once a day snapshots of all coins with a sentiment value. […]

Machine Readable Filings Extracts the Significance of ESG in Future Earnings

August 4, 2020

Machine Readable Filings (MRF) Extract the Significance of ESG in Future Earnings August 4, 2020 Discussions of Environmental, Social and Governance (ESG) has grown exponentially in the last few years. Socially conscious investors believe ESG criteria better determine the future financial performance of companies. There is a growing number of ESG funds, ETFs and other […]

Filtering Relevant Tweets Using Topic Models

July 20, 2020

At Social Market Analytics we use proprietary techniques to return the most accurate Twitter volume for topics of interest. First, we use a topic model not just $Ticker. Most vendors use the CashTag concept to identify securities. At SMA we believe only using CashTag excludes a lot of valuable conversation. We return higher volume and […]

Prev 1 2 3 4 … 9 Next

Weekly S-Volume Lookback for Daily Trading

July 28, 2022

GMRF Increases Coverage to Include ESG Documents

July 18, 2022

Alpha Around the World: Insights into Global Annual Reports

November 1, 2021

S-Score's Performance on Recent Earnings

September 14, 2021

Global MRF - The First of its Kind

July 28, 2021

How MRF Filings Improves on Raw Edgar Downloads

February 1, 2021

SMA Futures Data Sanities

January 4, 2021

Crypto Currency Market Index

October 13, 2020

Machine Readable Filings Extracts the Significance of ESG in Future Earnings

August 4, 2020

Filtering Relevant Tweets Using Topic Models

July 20, 2020

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