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Is This Blog a Sentiment Indicator?


Brett Steenbarger, being mentally stimulating as ever, posted a fascinating blog today: Is This Blog a Sentiment Indicator?.

This got me thinking about the relationship of traffic to this site and the market volatility and I became more and more interested in the relationship between visitors here and market activity.

I decided to take a semi-scientific look at the relationship with Excel. I put the daily unique visitors on trading days in one column and in the other column I put the difference between the high and low during RTH of the E-mini S&P500 (ES) contract. I then ran the correlation function against these two data series for data from 1 Jan 2007 to 21 Aug 2007 and discovered that there was practically no correlation whatsoever. The correlation coefficient was 0.003.

What other market measures would you suggest I run the traffic against to see if there's a correlation in there?