Detecting risk with social data: the ECB’s Greek debt waiver decision

Today the ECB announced that they would suspend accepting Greek debt as collateral for regular central bank loans. Previously there had been a waiver in place that allowed the ECB to accept junk-rated Greek government debt as collateral despite not meeting overall eligibility requirements.

The S&P 500 sold off quickly in response to the news. Many traders were left scratching their heads in the immediate aftermath, unaware that the ECB had made the announcement. Had they been monitoring the Twitter message stream they could have known immediately that the ECB had made a market moving change in policy.

Professional traders are increasingly using social data sources to inform their decisions. As the following chart shows, the volume of tweets related to the ECB spiked immediately following the news release. This was a clear signal that volatility was about to pop:

greece_tweetsnote: time is GMT

Want to learn how to mine social data sources like Twitter, StockTwits, Google Trends, and Estimize? Make sure to download our new book Intro to Social Data for Traders by our very own Thomas Pendergrass

Enter your email address to follow this blog and receive notifications of new posts by email.


5 replies »

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s