Signal construction

For each trading day t, we compute z = (views_t − μ_{t-60,t-1}) / σ_{t-60,t-1}. Securities with fewer than 20 valid observations in the window are excluded. The z-score is then ranked cross-sectionally within sector on that date. Empirical Bayes shrinkage toward the sector mean is applied for companies with thin coverage.

Limitations & caveats

Company→article mapping requires manual curation. Ambiguous names (e.g., 'Block', 'Target') are handled with documented rules; precision is audited quarterly. Wikipedia pageviews can spike for reasons unrelated to financial news (celebrity death, product launch, sports).

Evaluation results

Rank IC (Spearman) with Newey-West standard errors, walk-forward with 21-day embargo. Multiple-testing correction: Benjamini-Hochberg at q=0.05 across all signal × horizon × cohort tests.

No results yet. Data collection is ongoing. Results appear once sufficient out-of-sample history has accumulated. See the power analysis for timeline estimates.

Data coverage

S&P 500 names
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with ≥1 observation
Retail basket
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with ≥1 observation
Days collected
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