Sentimenttier 2pilot

`wikipedia attention`

cadence: Monthlydata: medium

2011

Da, Engelberg & Gao 2011, J. Finance; Pyun 2024 (SSRN 5172055)

Mechanism

Abnormal retail attention → 2-week price run-up, year-out reversal. Wikipedia pageviews is a cleaner orthogonal signal than Google Trends (Pyun 2024 shows it dominates Trends in OOS tests).

Signal rule

z-score of Wikipedia daily pageviews per ticker page; long 2-week, short 6-month if no earnings catalyst

Data dependencies

wikipedia_pageviews_api
Wikimedia daily pageview counts joined to ticker pages.
ticker_to_wikipage_map
Worker data table — see services/worker schema.

Expected edge

2-week long ~3%/month; 6-month short basket on attention-without-earnings

Illustrative pattern only

NOT a backtest

Illustrative pattern only — see /app for live backtests and the actual current equity curve.

Example tickers where this is likely to fire

GME MSTR DJT

Illustrative only — the signal fires based on the live data, not a fixed list.

Related families

attention spikeSentiment

Abnormal Google search-volume on a ticker (SVI z-score) predicts: • SHORT-RUN OVERPRICING: investor attention spike → retail piles in → ~2-4 week mean-reversion as price corrects. • Especially in retail-heavy names (small/mid-cap, meme

borrow rate spikeShort-Flow

When the cost to borrow a stock spikes, it

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wikipedia attention