S-Factors Definitions

SScore:

Is the weighted normalized representation of our sentiment time series over a look back period. This is a Z-Score. An S-Score of 2 means that the current conversation is more positive than 98% of prior conversations overt the lookback period. An S-Score of -2 means that the current conversation is more negative than 98% of prior conversations over the lookback period. Positive S-Scores are associated with favorable changes in investor sentiment, while negative levels are associated with unfavorable changes. We expect investor sentiment changes to result in stock price changes. Similarly, we expect larger changes in investor sentiment to be associated with larger stock price changes.

SMean:

Is the 20-day average of the S over a look back period. Default is 20-day average of “S”

SBuzz:

Is a universe normalized measure of unusual Tweet volume. SVScore measures abnormal volume against that security. SBuzz measures the relative volume against the universe.

SVolume:

The number of indicative Tweets over the lookback period. The default is a 24-hour lookback. Indicative Tweet is a Tweet discussing an asset from a certified account.

SDelta:

Is the Change is S-Score over the last 15 minutes. A large positive change means positive change in sentiment (positive breaking information). A large negative change means there is negative breaking news.

SDispersion:

Is a measurement of the tweet source concentration factor contributing to an S-Score. It gives an indication of the breadth of sentiment. It tells you what percentage of Tweets are coming from unique accounts.

SVolatility:

Is the standard deviation of Raw S.

SVMean:

Is the 20-day average of SVolume.

SVScore:

Is the normalized representation of indicative Tweet volume. It is a Z-Score of SVolume with a twenty-day lookback.

S:

Is the exponentially weight summation of individual Tweet sentiment scores over the last 24hrs with a 16-hour half-life.

SVVolatility:

Is the standard deviation of indicative Tweet volume.

RawS:

Is the summation of individual Tweet sentiment scores over the last 24hrs. Summation is not exponentially weighted.

RawSScore:

Is S-Score using non exponential summations. It is normalized representation of our sentiment time series over a look back period. This is a Z-Score. An S-Score of 2 means that the current conversation is more positive than 98% of prior conversations over the lookback period. An S-Score of -2 means that the current conversation is more negative than 98% of prior conversations over the lookback period. Positive S-Scores are associated with favorable changes in investor sentiment, while negative levels are associated with unfavorable changes. We expect investor sentiment changes to result in stock price changes. Similarly, we expect larger changes in investor sentiment to be associated with larger stock price changes.

RawSMean:

Is the 20-day average of RawS.

RawSVolatility:

Is the 20-day Standard Deviation of RawS.

SRank:

The rank of the S-Score from highest to lowest. The highest S-Score is #1 the lowest S-Score is n. S-Score calculations go to the 14th decimal place to ties are rare.

SScore_7d_avg:

The 7-day average of S-Score, scaled from 0 to 100.

SVolume_7d_avg:

The 7-day average of S-Volume.

SScore_30d_avg:

The 30-day average of S-Score, scaled from 0 to 100.

SVolume_30d_avg:

The 30-day average of S-Volume.

CompanyName:

Sector:

Industry:

Description:

Active:

Is a flag to denote whether that security is active on that day.

RawS50:

Is the summation of individual Tweet sentiment scores over the last 50-days. Summation is not exponentially weighted.

RawSMean50:

Is the 50-day average of RawS50.

RawSVolatility50:

Is the 50-day Standard Deviation of RawS50.

RawSScore50:

Is S-Score using non exponential summations. This value has a 50 day look back period. It is normalized representation of our sentiment time series over a look back period. This is a Z-Score. An S-Score of 2 means that the current conversation is more positive than 98% of prior conversations over the lookback period. An S-Score of -2 means that the current conversation is more negative than 98% of prior conversations over the lookback period. Positive S-Scores are associated with favorable changes in investor sentiment, while negative levels are associated with unfavorable changes. We expect investor sentiment changes to result in stock price changes. Similarly, we expect larger changes in investor sentiment to be associated with larger stock price changes. .

Acceleration & Velocity Metrics: Identify when the sentiment trend is changing direction. Velocity and Acceleration metrics are derived from S50 factors above and identify changes in long-term sentiment and the rate of change of long-term sentiment.

RawSVelocity50:

Is the one-day change in RawS50. V50 = RawS50_t - RawS50_(t-1)

In our research, the change and rate of change are equally important to identify the exhaustion of a sentiment trend.

RawSAccel50:

We call the change of the rate of change of A50 the acceleration (second derivative) of the S50. A50 = V50_t - V50_(t-1).

RawS200:

Is the summation of individual Tweet sentiment scores over the last 200-days. Summation is not exponentially weighted.

RawSMean200:

Is the 200-day average of RawS200.

RawSVolatility200:

Is the 200-day Standard Deviation of RawS200.

RawSScore200:

Is S-Score using non exponential summations. This value has a 200-day look back period. It is normalized representation of our sentiment time series over a look back period. This is a Z-Score. An S-Score of 2 means that the current conversation is more positive than 98% of prior conversations over the lookback period. An S-Score of -2 means that the current conversation is more negative than 98% of prior conversations over the lookback period. Positive S-Scores are associated with favorable changes in investor sentiment, while negative levels are associated with unfavorable changes. We expect investor sentiment changes to result in stock price changes. Similarly, we expect larger changes in investor sentiment to be associated with larger stock price changes.

RawSVelocity200:

Is the one-day change in RawS200. V200 = RawS200_t - RawS200_(t-1)

In our research, the change and rate of change are equally important to identify the exhaustion of a sentiment trend.

RawSAccel200:

We call the change of the rate of change of A50 the acceleration (second derivative) of the S50. AC200 = V200_t - V200_(t-1)