Models | Analysis

The Index is an econometric model like the fear and greed. It is a weighted calculation from multiple inputs, read weekly. Unlike traditional fear and greed my model also scrapes the language from social media posts and comments and applies that with more weight (boots on the ground). I reduce weight for lagged effects. Yt = 0.18Vt + 0.18Xt + 0.15At-1 + 0.18Pt + 0.31St Where Y = index value, V = volatility, t = time period, A = Sentiment ratio, P = put call ratio, X = Participation Volume, S = Social media Sentiment scrape