Table 1. Twitter Filters used to collect the social media data. We set-up a custom-built Twitter Collection Framework (TCF) to filter in from up to 10% of all messages from Twitter's elevated-access Gardenhose Feed, those that we deemed to be in reference to the financial instruments we consider in this study. Two types of string-filters were used for stocks: either only industry Ticker-IDs; or industry Ticker-IDs AND/OR Company Names. Other filters, such as those for additional currency pairs or stocks were excluded on the principle of insufficient daily Tweet volumes (<24 per day) as determined prior to the study.

Instrument	Filter type	Filter
Apple, Inc. CFDs	Ticker ID AND/OR Company Name	$AAPL AND/OR “Apple”
Apple, Inc. CFDs	Ticker ID	$AAPL
Amazon.com, Inc. CFDs	Ticker ID AND/OR Company Name	$AMZN AND/OR “Amazon”
Amazon.com, Inc. CFDs	Ticker ID	$AMZN
American Express, Co. CFDs	Ticker ID AND/OR Company Name	$AXP AND/OR “American Express”
Bank of America, Corp. CFDs	Ticker ID AND/OR Company Name	$BAC AND/OR “Bank of America”
Bank of America, Corp. CFDs	Ticker ID	$BAC
Cisco Systems, Inc. CFDs	Ticker ID AND/OR Company Name	$CSCO AND/OR “Cisco”
EURUSD CFDs	Ticker ID	$EURUSD
EURUSD Futures	Ticker ID	$EURUSD
GBPUSD CFDs	Ticker ID	$GBPUSD
GBPUSD Futures	Ticker ID	$GBPUSD
General Electric, Co. CFDs	Ticker ID AND/OR Company Name	$GE AND/OR “GE” AND/OR “General Electric”
General Electric, Co. CFDs	Ticker ID	$GE
Google, Inc. CFDs	Ticker ID AND/OR Company Name	$GOOG AND/OR “Google”
Google, Inc. CFDs	Ticker ID	$GOOG
The Home Depot, Inc. CFDs	Ticker ID AND/OR Company Name	$HD AND/OR “Home Depot”
Hewlett Packard, Co. CFDs	Ticker ID AND/OR Company Name	$HPQ AND/OR “Hewlett-Packard” AND/OR “Hewlett Packard”
Hewlett Packard, Co. CFDs	Ticker ID	$HPQ
IBM, Corp. CFDs	Ticker ID AND/OR Company Name	$IBM AND/OR “IBM”
IBM, Corp. CFDs	Ticker ID	$IBM
Intel Corp. CFDs	Ticker ID AND/OR Company Name	$INTC AND/OR “Intel”
Intel Corp. CFDs	Ticker ID	$INTC
Johnson & Johnson, Co. CFDs	Ticker ID AND/OR Company Name	$JNJ AND/OR “Johnson & Johnson” AND/OR “Johnson and Johnson”
J.P. Morgan, Inc. CFDs	Ticker ID AND/OR Company Name	$JPM AND/OR “JPMorgan” AND/OR “JP Morgan”
J.P. Morgan, Inc. CFDs	Ticker ID	$JPM
Coca-Cola, Co. CFDs	Ticker ID AND/OR Company Name	$KO AND/OR “Coca-Cola” AND/OR “Coca Cola”
Coca-Cola, Co. CFDs	Ticker ID	$KO
McDonald's, Corp. CFDs	Ticker ID AND/OR Company Name	$MCD AND/OR “McDonald's” AND/OR “McDonalds”
McDonald's, Corp. CFDs	Ticker ID	$MCD
3M, Co. CFDs	Ticker ID AND/OR Company Name	$MMM AND/OR “3M”
Microsoft, Corp. CFDs	Ticker ID AND/OR Company Name	$MSFT AND/OR “Microsoft”
Microsoft, Corp. CFDs	Ticker ID	$MSFT
Oracle, Corp. CFDs	Ticker ID & Company Name	$ORCL AND/OR “Oracle”
Oracle, Corp. CFDs	Ticker ID	$ORCL
FTSE100 Index CFDs	UK Geographical	String-unfiltered UK Tweets
FTSE100 Index Futures	UK Geographical	String-unfiltered UK Tweets
S&P500 Index CFDs	US Geographical	String-unfiltered US Tweets
S&P500 Index Futures	US Geographical	String-unfiltered US Tweets
AT&T, Inc. CFDs	Ticker ID AND/OR Company Name	$T AND/OR “AT&T”
AT&T, Inc. CFDs	Ticker ID	$T
Wal-Mart, Inc. CFDs	Ticker ID AND/OR Company Name	$WMT AND/OR “Wal-Mart” AND/OR “Wal Mart”
Exxon Mobil, Corp. CFDs	Ticker ID AND/OR Company Name	$XOM AND/OR “Exxon Mobil”
Exxon Mobil, Corp. CFDs	Ticker ID	$XOM