Related papers: The link between Bitcoin and Google Trends attenti…
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…
Cryptocurrencies have gained tremendous popularity over the past few years. The purpose of this study is to try to understand the factors that are driving cryptocurrency-related trading activities. Focusing on the well-established…
First, a big data analysis of the transactions and smart contracts made on the Ethereum blockchain is performed, revealing interesting trends in motion. Next, these trends are compared with the public's interest in Ether and Bitcoin,…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
Using non-linear machine learning methods and a proper backtest procedure, we critically examine the claim that Google Trends can predict future price returns. We first review the many potential biases that may influence backtests with this…
Cryptocurrency markets have many of the characteristics of 20th century commodities markets, making them an attractive candidate for trend following strategies. We present a decade of evidence from the infancy of bitcoin, showcasing the…
Crypto-coins (also known as cryptocurrencies) are tradable digital assets. Notable examples include Bitcoin, Ether and Litecoin. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption…
This paper investigates the evolving link between cryptocurrency and equity markets in the context of the recent wave of corporate Bitcoin (BTC) treasury strategies. We assemble a dataset of 39 publicly listed firms holding BTC, from their…
Bitcoin has increased investment interests in people during the last decade. We have seen an increase in the number of posts on social media platforms about cryptocurrency, especially Bitcoin. This project focuses on analyzing user tweet…
We construct and study the Google matrix of Bitcoin transactions during the time period from the very beginning in 2009 till April 2013. The Bitcoin network has up to a few millions of bitcoin users and we present its main characteristics…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
Cryptocurrencies have gained significant attention in recent years due to their decentralized nature and potential for financial innovation. Thus, the ability to accurately predict its price has become a subject of great interest for…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
The production and consumption of information about Bitcoin and other digital-, or 'crypto'-, currencies have grown together with their market capitalisation. However, a systematic investigation of the relationship between online attention…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
The S&P 500 index is considered the most popular trading instrument in financial markets. With the rise of cryptocurrencies over the past years, Bitcoin has also grown in popularity and adoption. The paper aims to analyze the daily return…
Cryptocurrencies are highly volatile financial instruments with more and more new retail investors joining the scene with each passing day. Bitcoin has always proved to determine in which way the rest of the cryptocurrency market is headed…
Cryptocurrencies are a type of digital money meant to provide security and anonymity while using cryptography techniques. Although cryptocurrencies represent a breakthrough and provide some important benefits, their usage poses some risks…
Bitcoin is one of the cryptocurrencies that is gaining more popularity in recent years. Previous studies have shown that closing price alone is not enough to forecast stock market series. We introduce a new set of time series and…