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Updated: Aug 15, 2025

The Collective Trust Game: An Online Group Adaptation of the Trust Game Based on the HoneyComb Paradigm
Published on: October 20, 2022
A retail investor in a cobweb of social networks
Tamara Teplova1, Aleksandr Tomtosov2, Tatiana Sokolova1
1Centre for Financial Research & Data Analytics, Faculty of Economic Sciences, HSE University, Moscow, Russia.
Abstract:
In this study, using AI, we empirically examine the irrational behaviour, specifically attention-driven trading and emotion-driven trading such as consensus trading, of retail investors in an emerging stock market. We used a neural network to assess the tone of messages on social media platforms and proposed a novel Hype indicator that integrates metrics of investor attention and sentiment. The sample of messages, which are written in Russian with slang expressions, was retrieved from a unique dataset of social network communication of investors in the Russian stock market. Applying different portfolio designs, we evaluated the effectiveness of the new Hype indicator against the factors of momentum, volatility, and trading volume. We found the possibility of building a profitable trading strategy based on the Hype indicator over a 6-month time horizon. Over short periods, the Hype indicator allows investors to earn more by buying stocks of large companies, and over «longer» periods, this indicator tends to perform better for illiquid stocks of small companies. As consensus trading tends to produce negative returns, the investment strategy of 'Go against the crowd' proves rewarding in the medium term of 3 months.
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