"Information contained in the volatility sentiment extracted from broader social media data sources can be used to create profitable investment strategies for stock market volatility ... A large database of tweets contains useful information about future stock market volatility. [Social Anomaly Score strategies] are able to outperform a benchmark by harnessing the volatility wisdom of social media crowds."
KARAGOZOGLU, A. K., & FABOZZI, F. J. (2017). Volatility Wisdom of Social Media Crowds. Journal Of Portfolio Management, 43(2), 136-151.
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