Table 3. k-means clustering of admitted assets by Tweet volume. We run a k-means20 clustering algorithm on the mean minutely volumes of Tweets collected over the entire study for the financial-instrument/Twitter-Filter combinations for which we deem hourly changes in social media sentiments to lead securities' hourly returns in a statistically-significant manner. By clustering these volumes into two categories, we compare the mean minutely Tweet volume to the financial-instrument's brand value24. We observe that the companies grouped into cluster 1: Apple Inc., Amazon.com Inc. and Google Inc. (with a centroid of 144.1 messages per minute) are also the most popular brands admitted in our study. Cluster 2 encapsulates the remaining companies admitted by our study (with a centroid of 12.3 messages per minute). We therefore quantitatively show the intuitive relationship that companies of high brand-value are also represented strongly in terms of Tweet volumes, and suggest that any trading strategies built on the analytics of social media data should give particular attention to such companies due to the high-density of Tweets *: Note that we exclude message volumes attributed to the S&P500 index Futures and to Apple, Inc. CFDs (collected solely via the Ticker-ID Twitter Filter) from these clustering calculations.
| # | Instrument name | Twitter Filter | Mean message volume per minute | k-means clustering category for message volume | Brand value (m) |
|---|---|---|---|---|---|
| 1 | Apple, Inc. CFDs | $AAPL AND/OR “Apple” | 126.7 | 1 | $87,304 |
| 2 | Amazon.com, Inc. CFDs | $AMZN AND/OR “Amazon” | 123.1 | 1 | $36,788 |
| 3 | Google, Inc. CFDs | $GOOG AND/OR “Google” | 184.0 | 1 | $52,132 |
| 4 | Intel, Inc. CFDs | $INTL AND/OR “Intel” | 12.9 | 2 | $21,139 |
| 5 | Coca-Cola, Co. CFDs | $KO AND/OR “Coca Cola” AND/OR “Coca-Cola” | 24.8 | 2 | $34,205 |
| 6 | McDonald's, Corp. CFDs | $MCD AND/OR “McDonald's” AND/OR “McDonalds” | 46.5 | 2 | $21,642 |
| 7 | S&P500 Futures | String-unfiltered US Tweets | 142.7 | 1 | N/A |
| 8 | Oracle, Corp. CFDs | $ORCL AND/OR “Oracle” | 5.0 | 2 | $16,047 |
| 9 | Cisco Systems, Inc. CFDs | $CSCO AND/OR “Cisco” | 4.0 | 2 | $15,468 |
| 10 | The Home Depot, Inc. CFDs | $HD AND/OR “Home Depot” | 1.9 | 2 | $23,423 |
| 11 | Apple, Inc. (Ticker only) CFDs | $AAPL | 1.8 | 2 | N/A |
| 12 | J.P. Morgan, Inc. CFDs | $JPM OR “JPMorgan” OR “JP Morgan” | 1.1 | 2 | $13,775 |