Fear and Volatility in Digital Assets
Statistical Finance
2020-10-30 v1
Abstract
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to the model alongside Google Trends with markets responding often several hours later. The code and datasets used in this paper can be found at https://github.com/Globe-Research/bitfear.
Cite
@article{arxiv.2010.15611,
title = {Fear and Volatility in Digital Assets},
author = {Faizaan Pervaiz and Christopher Goh and Ashley Pennington and Samuel Holt and James West and Shaun Ng},
journal= {arXiv preprint arXiv:2010.15611},
year = {2020}
}
Comments
9 pages, 3 figures