Tweet diffusion
Finance paper / SSRN 2021General Info
Measured the rate of information diffusion across a large network of investors by tracking retweets of breaking news during trading hours.
Contributions
Discovered how stock return and volatility will change based on the pattern of information diffusion. Developed a model which can predict information diffusion and therefore stock return in the near future based on information observable during the first ten minutes after the initial tweet.
