CommitTrader

CommitTrader is a quantitative research project analyzing whether public GitHub activity from open-source repositories associated with publicly traded companies has any measurable relationship with short-term stock price movements.

Overview

CommitTrader examines how different forms of GitHub activity align with abnormal stock returns around the event date. The project uses event-study methodology to evaluate whether developer-driven signals contain informational value that public markets may respond to.

Research Focus

CommitTrader investigates:

• Whether open-source releases correspond with observable stock price reactions
• Whether commit spikes or elevated development activity correlate with abnormal returns
• Which GitHub event categories show statistically significant effects
• How effects vary by company size, sector, or repository relevance
• Which event windows (e.g., −1 to +1, −5 to +5) exhibit the strongest signals

Methodology

CommitTrader uses a structured event-study framework consisting of:

Event Identification

• Collection of GitHub releases
• Detection of commit frequency spikes
• Categorization of repository activity events

Expected Return Models

• Market Model
• Mean-Adjusted Model
• Market-Adjusted Model

Abnormal Return (AR) Calculation

• AR computed as the difference between observed returns and expected returns

Cumulative Abnormal Returns (CAR)

• CAR aggregated over configurable windows such as:
  • Short windows: (−1, 0, +1)
  • Medium windows: (−3 to +3)
  • Extended windows: (−5 to +5)

Statistical Testing

• t-tests
• Sign tests
• Wilcoxon signed-rank tests
• Cross-sectional tests
• ANOVA for comparing event types

Aggregation and Interpretation

• Company-level and sector-level comparisons
• Event-type-specific summaries
• Identification of consistent patterns or null results

Data Sources

• GitHub Activity Data
  Public events (releases, commits, spikes) collected from mapped repositories.

• Market Data
  Daily stock prices and index returns used for modeling expected returns.

• Company–Repository Mapping
  A maintained CSV linking tickers to relevant open-source repositories.

Outputs

CommitTrader produces:

• Event-level AR and CAR results
• Aggregated statistical summaries for each event category
• Cross-company and cross-sector comparisons
• Significance test outcomes
• Visualizations, including:
  • AR and CAR distributions
  • Timeline charts
  • Event-type comparisons

These outputs support evaluating whether open-source development patterns show measurable alignment with stock market behavior.

Scope and Limitations

• Public GitHub repositories reflect only part of a company's engineering activity.
• Effects may vary by time period, company, or sector.
• Results should not be interpreted as trading signals.
• The project is intended strictly for research and analysis.

Purpose

CommitTrader provides a framework for studying how open-source software ecosystems interact with financial markets. It enables structured, empirical evaluation of whether developer activity produces market-relevant signals and offers a foundation for further academic research in quantitative finance, software engineering analytics, and market microstructure.