Social attention adds no predictive power for intraday move size beyond price volatility

Instrumetriq Research Note. Using 380,932 coin-sessions from the Instrumetriq Tier 3 archive (213 days, 2025-12-15 to 2026-07-15, 278 crypto assets), we test whether social attention predicts intraday move size beyond what a plain price volatility reading already gives. It does not, and that holds however attention is measured: distinct posting authors, engagement, reach, and the Engagement Coefficient the Instrumetriq extension shows as a coin's chatter level. Price volatility alone ranks large movers at AUC 0.77-0.83, every attention measure ranks them at 0.50-0.54, and adding any of them to volatility changes the out-of-sample AUC by 0.000. A positive control that peeks at the answer moves that number by +0.01 to +0.14, so the test detects added value when it exists. Attention precedes larger moves only because attention and volatility rise together. Refines the attention-volatility note, whose lift result is reproduced here and stands. Reproduction code and free weekly samples are mirrored across GitHub, Hugging Face, Kaggle, and Zenodo. Full archive and current-month updates: instrumetriq.com.

Authors

Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-07-22
DOI
https://doi.org/10.5281/zenodo.21469890
Primary Topic
Mind wandering and attention
Type
article
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article

Social attention adds no predictive power for intraday move size beyond price volatility

Instrumetriq
Zenodo (CERN European Organization for Nuclear Research)
Mind wandering and attention
article

Social attention adds no predictive power for intraday move size beyond price volatility

Instrumetriq
article en

Abstract

Instrumetriq Research Note. Using 380,932 coin-sessions from the Instrumetriq Tier 3 archive (213 days, 2025-12-15 to 2026-07-15, 278 crypto assets), we test whether social attention predicts intraday move size beyond what a plain price volatility reading already gives. It does not, and that holds however attention is measured: distinct posting authors, engagement, reach, and the Engagement Coefficient the Instrumetriq extension shows as a coin's chatter level. Price volatility alone ranks large movers at AUC 0.77-0.83, every attention measure ranks them at 0.50-0.54, and adding any of them to volatility changes the out-of-sample AUC by 0.000. A positive control that peeks at the answer moves that number by +0.01 to +0.14, so the test detects added value when it exists. Attention precedes larger moves only because attention and volatility rise together. Refines the attention-volatility note, whose lift result is reproduced here and stands. Reproduction code and free weekly samples are mirrored across GitHub, Hugging Face, Kaggle, and Zenodo. Full archive and current-month updates: instrumetriq.com.

Zenodo (CERN European Organization for Nuclear Research)
Quality Education
Openalex Percentile: Top 7%
Mind wandering and attention
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