wikipedia attention reversal
What it checks
When Wikipedia pageviews for a stock surge in the top 10% of normal weekly moves, retail attention has driven the price up too far. Short the stock for 1-2 weeks as the attention premium fades.
Mechanism
Wikipedia pageview spikes — like Da-Engelberg-Gao 2011 SVI spikes — proxy retail-investor attention. Heim et al document that the attention-induced price bump REVERSES over 5-10 days: stocks in the top decile of week-over-week Wikipedia pageview growth underperform by ~1-2% over the subsequent 5-10 days as the attention-priced premium decays.
Signal rule
Weekly Wikipedia pageview WoW growth in top 90th/95th pctl of trailing 26-week own-history (T+1) -> SHORT for 5/10 trading days.
Data dependencies
daily_pricesAdjusted-close OHLCV for every US-listed ticker; primary price feed.
wikipedia_pageviewsWikimedia daily pageview counts joined to ticker pages.
Expected edge
- Paper alpha
- -1 to -2% over 5-10d
- Paper window
- T+1 to T+10d
-1 to -2% over 5-10d on top-decile attention-spike reversal (Heim-Lemmon-Pyun 2016).
Example tickers where this is likely to fire
Illustrative only — the signal fires based on the live data, not a fixed list.
Related families
wikipedia attention spikeSentimentDa-Engelberg-Gao (2011 JF) "In Search of Attention" established that abnormal retail attention predicts a 2-week price run-up followed by a year-out reversal. Pyun (2024, SSRN 5172055) extends the work to Wikipedia pageviews and shows the Wiki signal dominates Google Trends in OOS tests — no rate limit, no normalisation-window confound, cleaner page identity per company. Signal is log(views / 90d median); long on >σ spikes for 2 weeks, short the reversal at 6 months when no earnings event explains the spike.
attention spikeSentimentDa-Engelberg-Gao 2011 "In Search of Attention": abnormal Google search volume (SVI z-score over a trailing 52-week baseline) predicts short-run overpricing — when SVI z > +2 retail piles in and the price mean-reverts over 2-4 weeks. Especially strong in retail-heavy names (small/mid-cap, meme stocks). Trends is weekly; we forward-fill onto the daily price index and use the harness's MC test to gate the small per-name edge.
wsb attention alphaSentimentApeWisdom aggregates daily mentions from r/WallStreetBets and adjacent retail subreddits. Two distinct sub-edges: (a) mention spike + uptrend → 2-5 day continuation (squeeze-setup tail, Cookson-Engelberg-Mullins 2023 RFS); (b) mention spike with no uptrend → 5-20 day mean-reversion (attention-tax tail, Da-Engelberg-Gao 2011 JF social-media extension). We use own-name 60d trend to route between the two regimes.
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