The Battle of: Main Street vs Wall Street www.digital-mr.com | [email protected] | @DigitalMR ©2021 DigitalMR® All Rights Reserved This document contains proprietary/confidential company information. All unauthorized distribution prohibited. Any unauthorized recipient please immediately notify DigitalMR by email at [email protected] Agenda 1. What is the commercial case for DigitalMR? 2. Case Study: Main Street Vs Wall Street a. Can social intelligence predict stock fluctuation? b. Which specific time series show better correlation/causation? c. What periodic combinations between signal and predicted value work best? d. What time lag should be used? 3. Other Findings 4. Closing Thoughts Commercial Case: SITID Social Intelligence for Trading & Investment Decisions ©2021 DigitalMR® All Rights Reserved The Alternative Data Market Global Market “55% of funds spend Alternative Data $100K to $1M per year on US$7B alternative data” - Lowenstein Sandler report, September 2019 Social Sentiment US$500M Source: Opimas.com ©2021 DigitalMR® All Rights Reserved The Problem Signal lost in noise & Limited scope Irrelevant posts USA US tickers Low sentiment accuracy Hello! English language No topic annotation News and Twitter Client Use Cases: Not just about the discovery of new alpha but perhaps more importantly about risk monitoring and deal sourcing ©2021 DigitalMR® All Rights Reserved The Solution Custom: data cleaning models sentiment annotation models Selected topic annotation models tickers from other large Stock Committed Accuracy: Exchanges ≥90% relevance ≥80% semantic ≥75% sentiment ©2021 DigitalMR® All Rights Reserved Go-to-Market Strategy Leverage & Expand existing relationships 60% Discussions with New Partners Indirect Sales Discussions with Funds New Funds 40% Direct Sales Outbound & Inbound activity ©2021 DigitalMR® All Rights Reserved Value Proposition → High quality signals → Sentiment + topics → Tickers across all major stock exchanges → Better investment & trading decisions ©2021 DigitalMR® All Rights Reserved Case Study: Main Street Vs Wall Street ©2021 DigitalMR® All Rights Reserved Case Study Overview 745,084 • TIME PERIOD: 1st Dec. 2020 – 31st Jan. 2021* • SOURCES: Twitter, Reddit, Blogs, Forums, News (editorial), Reviews, Videos, Dark Web • TOTAL NUMBER OF POSTS: 3,017,122 • KEYWORDS GATHERED: "gamestop" OR "robinhood" OR "melvin capital" OR (("GME" OR "AMC" OR "BB" OR "NOK" OR "EXPR" OR "PLTR”) AND ("stock" OR "stocks" OR "shares" OR "share price" OR "NYSE" OR "nasdaq" OR "wallstreet" OR "trade" OR "trading" OR "short")) Total No. of Posts *Reddit data is available from 1st Jan. 2021 to 31st January 2021 *Data from all other sources is available from 1st Dec. 2020 to 31st Jan. 2021 ©2021 DigitalMR® All Rights Reserved Text Annotation Approach ≥75% sentiment ≥80% semantic ≥90% relevance Custom Sentiment Models Drill-down Topics Noise Elimination Starling Bank The Web Company Data Gathering Products Customer Experience Post Annotation: Sentiment Sentiment Model Creation … NOT Starling Bird Post Processing: Sentiment Availability Quality Store Website Precision Checks Price Model Improvements Location Navigation In Store Offers Data Export (CSV, Excel Tables, PPT, dashboard) Facilities Online Convenience ©2021 DigitalMR® All Rights Reserved $GME - Time Series & Periodic Combinations Pearson Correlation *Reddit data is available from 1st Jan. 2021 to 31st January 2021 *Data from all other sources is available from 1st Dec. 2020 to 31st Jan. 2021 ©2021 DigitalMR® All Rights Reserved $GME - Highest Pearson Correlation Coefficient *Reddit data is available from 1st Jan. 2021 to 31st January 2021 *Data from all other sources is available from 1st Dec. 2020 to 31st Jan. 2021 ©2021 DigitalMR® All Rights Reserved $EXPR - Time Series & Periodic Combinations Pearson Correlation *Reddit data is available from 1st Jan. 2021 to 31st January 2021 *Data from all other sources is available from 1st Dec. 2020 to 31st Jan. 2021 ©2021 DigitalMR® All Rights Reserved High correlation between GameStop buzz and stock price Pearson correlation (r): positive + neutral buzz fluctuation vs $GME stock price return (1 day lag) = 85% ©2021 DigitalMR® All Rights Reserved High correlation between AMC buzz and stock price Pearson correlation (r): total Pearson correlationbuzz fluctuation (r): vstotal $AMC stock price return (1 day lag) buzz fluctuation vs $AMC stock = 83% price return (1 day lag) = 83% ©2021 DigitalMR® All Rights Reserved High correlation between Express buzz and stock price Pearson correlation (r): total buzz fluctuation vs $EXPR stock price return (1 day lag) = 82% Pearson correlation (r): total buzz fluctuation vs $EXPR stock price return (1 day lag) = 82% ©2021 DigitalMR® All Rights Reserved High correlation between Nokia buzz and stock price Pearson correlation (r): total buzz fluctuation vs $NOK stock price return (1 day lag) = 85% Pearson correlation (r): total buzz fluctuation vs $NOK stock price return (1 day lag) = 85% ©2021 DigitalMR® All Rights Reserved Other Findings ©2021 DigitalMR® All Rights Reserved 1. The “YOLO” attitude 16,000 13,926 “@wallstreetbets if we could YOLO some BB 14,000 tomorrow that would be great” (Twitter) 12,000 NO. OF POSTS: 62,105 10,000 8,000 5,616 “I bought GME at the top. Don't care about 6,000 making a profit, fuck it. YOLO” (Forums) 2,988 4,000 1,490 Number of posts 2,000 0 “At the moment, if I had a spare $50k cash to yolo on 02-Jan 04-Jan 06-Jan 08-Jan 10-Jan 12-Jan 14-Jan 16-Jan 18-Jan 20-Jan 22-Jan 24-Jan 26-Jan 28-Jan 30-Jan 03-Dec 05-Dec 07-Dec 09-Dec 11-Dec 13-Dec 15-Dec 17-Dec 19-Dec 21-Dec 23-Dec 25-Dec 27-Dec 29-Dec 31-Dec 01-Dec something, I'd throw it in GME shares or PLTR shares. PLTR for the long term, GME for the short term. Maybe split $20k GME / $30k PLTR, and once GME hits $150 or higher take my “I just cleared my debts, i have $500, I want to go YOLO, do i gains and dump them into more PLTR.” (Forums) buy GME at the price that its at?” (Reddit) “BRB gonna yolo everything into “YOLO into AMC tomorrow? “HOLD THE LINE. YOLO THIS SHIT. AMC. GME! It can only go up!” (Twitter) or nah?” (Forums) GAMESTOP. NOKIA. LETS DO IT!” (Videos) ©2021 DigitalMR® All Rights Reserved 2. Other companies come up without searching for them $BB 826,755 “Check out this hot penny stock Naked $GME 719,267 (NAKD) and Express (EXPR)! (…)” (Videos) $EXPR 549,645 $AMC 285,299 $NOK 126,083 $PLTR 20,702 “@TreJames_ I saw amc bed bath and beyond tanger outlet $BBBY 15,285 and some others that are gonna be targeted next” (Twitter) $NAKD 14,676 $AAL 13,002 50,417 $SNDL 7,454 “FWIW AAL is next reddit “Gogo nakd gme and amc are all high in mob target” (Forums) short interest this will be interesting. AAl is going up too and thats great! I have little “my next bet is bed bath and beyond new amount but i like it.” (Forums) management team and its also being shorted. its “AAL all in baby” (Reddit) actually somewhat similar to GME restructuring. Just lmao.” (Forums) “I am in with NOK, AMC, SNDL ...” (Reddit) “AMC, BB, BBBY madness” (Twitter) “@elonmusk LETS BUY $AMC $NOK “#SNDL isn’t blocked yet, get it sent to $GME $NAKD TRAP THE SUITS” (Twitter) “Hold amc but also buy sndl” (Twitter) the moon ” (Twitter) ©2021 DigitalMR® All Rights Reserved 3. Net Sentiment ScoreTM Melvin Capital -17% “(…) HOLD THE FUCKING STONKS!! ✋✋ MELVIN CAPITAL BURN TO -6% $EXPR THE GROUND incoming tendies!!” (Reddit) -2% Robinhood $GME 2% “Looks like my math so off by $500 $AMC 6% mil loll. Melvin Capital is fucked. That also assuming GME is the only $PLTR 9% company they are shorting.” (Forums) $NOK 14% $BB 56% “I'm extremely happy that Melvin Capital got caught on their bullshit “Melvin capital can eat shit. (…)” (Forums) here. (…)” (Twitter) “All my homies hate Melvin capital”(Reddit) “I'd say they bankrupted themselves by playing the game the “Maybe Melvin Capital doesn't have the leverage for that? Elon way they were. The only thing that happened is that the Musk went against them and he has decent connections. market pivoted and reacted differently..” (Forums) Perhaps they are really about to go down.” (Videos) “That’s why I don’t care if I lose my few shares. I’m not “Or buy high and push higher to fuk bears & Melvin Capital”(Reddit) selling until Melvin capital is out of business.” (Reddit) ©2021 DigitalMR® All Rights Reserved 4. Some believe Elon Musk is involved, as payback to Melvin C. 3,000 2,784 “@Reuters Elon tweeted Gamestonk yesterday 2,500 with a link and was in the reddit forum about 2,047 2,000 Melvin hes buying a bunch of Game Stop apparently because Melvin was shorting Tesla NO. OF POSTS: 10,970 1,500 for a while and this is payback.” (Twitter) 1,000 500 “All I got is the people getting screwed the Number of posts most (thus far) are the types of people who 0 own multiple boats. And Melvin Capital tried to 01-Dec 08-Dec 15-Dec 22-Dec 29-Dec 05-Jan 12-Jan 19-Jan 26-Jan short Tesla multiple times Elon never forgot and now he seems to be the captain of the SS TAKE DOWN HEDGE FUNDERS” (Twitter) “@wrestlingskum @N3rdC3ntral @People4Bernie Its also worth noting that Elon Musk is shilling Gamestop stock specifically because its Melvin Capital who repeatedly shorted Tesla for years eating the cost.” (Twitter) “@AmiFFXIV After reading up on this it seems that one hedge fund in particular is the target here.. Melvin. They had a large short position on Gamestop which “quote: Reddit Investors @redditinvestors Elon Musk is means they are losing billions now it is going up. This shilling GameStop because Melvin Capital shorted Tesla a long hedge fund shorted Tesla previously and Elon has time ago and bragged about it.” (Forums) been tweeting about it..” (Twitter) ©2021 DigitalMR® All Rights Reserved 5.