The intersection of social media, low-cost trading platforms, and naive
investors has created an ideal situation for information-based market
manipulations, especially pump&dumps. Manipulators accumulate small-cap stocks,
disseminate false information on social media to inflate their price, and sell
at the peak. We collect a dataset of stocks whose price and volume profiles
have the characteristic shape of a pump&dump, and social media posts for those
same stocks that match the timing of the initial price rises. From these we
build predictive models for pump&dump events based on the language used in the
social media posts.
There are multiple difficulties: not every post will cause the intended
market reaction, some pump&dump events may be triggered by posts in other
forums, and there may be accidental confluences of post timing and market
movements. Nevertheless, our best model achieves a prediction accuracy of 85%
and an F1-score of 62%. Such a tool can provide early warning to investors and
regulators that a pump&dump may be underway.

本研究探讨社交媒体、低成本交易平台和纯真投资者相交的情况，创建了一个基于社交媒体帖子的预测模型工具，可对 Pump&Dump 式的市场操纵提前进行预警，并在最佳模型下实现了 85% 的准确率和 62% 的 F1 得分。