Creation of an ETF that can track social media impact on a dynamic "Meme Stock" portfolio

Abstract

The impact of social on financial markets has been highlighted through ‘Meme Stocks’. This paper examines social media trends’ effect on meme stock portfolios, focusing on discussions on Reddit’s wallstreetbets subreddit. Using historical real-time data from the subreddit and financial information form CRSP, a multiple dynamically adjusting portfolio are constructed and examined. Testing for various optimization methods, rebalancing periodicity, also, size and industry partitions are examined, finding that a daily minimum variance Financial ‘meme stock’ portfolio is the best type to track. This research provides insights into the potential of social media-driven trading strategies and their implications for investors.