Figure 1
From: Quantifying Wikipedia Usage Patterns Before Stock Market Moves
Returns from trading strategies based on Wikipedia view and edit logs for articles relating to the companies forming the Dow Jones Industrial Average (DJIA).
The distributions of returns from two portfolios of 30 hypothetical strategies, trading weekly on the DJIA, based on changes in how often the 30 Wikipedia articles describing the companies listed in the DJIA were viewed (blue) and edited (red) during the period December 2007 – April 2012, with Δt = 3 weeks. The distribution of returns from 10,000 independent realizations of a random strategy is also shown (gray). Data is displayed using a kernel density estimate and the ggplot2 library36, with a Gaussian kernel and bandwidth calculated using Silverman's rule of thumb37. Whereas we show in the text that random strategies lead to no significant profit or loss, we find that the returns of Wikipedia article view based strategies for this period are significantly higher than the returns of the random strategies (mean R = 0.50; W = 199690, p = 0.005, α = 0.05, two-tailed two-sample Wilcoxon rank-sum test, Bonferroni correction applied). There is however no statistically significant difference between the returns from the Wikipedia edit based strategies and the random strategies (mean R = −0.09; W = 140781, p > 0.9, α = 0.05, two-tailed two-sample Wilcoxon rank-sum test, Bonferroni correction applied).
