Do Google Trends forecast bitcoins? Stylized facts and statistical evidence
In early 2018 Bitcoin prices peaked at US$ 20,000 and, almost two years later, we still continue debating if cryptocurrencies can actually become a currency for the everyday life or not. From the economic point of view, and playing in the field of behavioral finance, this paper analyses the relation...
| Autores: | , |
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| Tipo de documento: | artigo |
| Data de publicação: | 2021 |
| País: | España |
| Recursos: | Universitat Politècnica de Catalunya (UPC) |
| Repositório: | UPCommons. Portal del coneixement obert de la UPC |
| Idioma: | inglês |
| OAI Identifier: | oai:upcommons.upc.edu:2117/407306 |
| Acesso em linha: | https://hdl.handle.net/2117/407306 https://dx.doi.org/10.1007/s42786-021-00027-4 |
| Access Level: | Acceso aberto |
| Palavra-chave: | Bitcoin Neural Networks Google Trends Causality ARIMA Neural networks Xarxes neuronals (Informàtica) Àrees temàtiques de la UPC::Informàtica |
| Resumo: | In early 2018 Bitcoin prices peaked at US$ 20,000 and, almost two years later, we still continue debating if cryptocurrencies can actually become a currency for the everyday life or not. From the economic point of view, and playing in the field of behavioral finance, this paper analyses the relation between Bitcoin price and the search interest on Bitcoin since 2014. We questioned the forecasting ability of Google Bitcoin Trends for the behavior of Bitcoin price by performing linear and nonlinear dependency tests, and exploring performance of ARIMA and Neural Network models enhanced with this social sentiment indicator. Our analyses and models are founded upon a set of statistical properties common to financial returns that we establish for Bitcoin, Ethereum, Ripple and Litecoin. |
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