Analysing Social Media Forums to Discover Potential Causes of Phasic Shifts in Cryptocurrency Price Series
Analysing Social Media Forums to Discover Potential Causes of Phasic Shifts in Cryptocurrency Price Series
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DOI：
10.3389/fbloc.2020.00001
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发表时间：
2020-01
期刊：
影响因子：
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通讯作者：
Andrew Burnie;Emine Yilmaz;T. Aste
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文献类型：
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作者：
Andrew Burnie;Emine Yilmaz;T. Aste
最近加密货币价格的极端波动发生在流行的社交媒体论坛上，专门讨论加密货币。我们开发了一个框架，发现了社交媒体讨论所捕获的价格变动阶段性变化的潜在原因。这借鉴了卫生保健流行病学中的原则，同样，只有观察数据可用。这些原因可能会对价格序列的趋势产生重大的一次性影响或重复性影响。我们发现监管禁令对比特币的一次性影响，竞争对手创新对以太坊的反复影响，以及通过讨论市场价格而捕获的技术交易员对这两种加密货币的影响。比特币的结果与以太坊不同，这与观察到的最高价格和价格阶段的时间差异一致。该框架可以应用于存在相关社交媒体文本源的各种加密货币价格系列。具有重复性影响的已确定原因可能在预测建模中具有价值，而一次性原因可能提供对可能对系统产生重大影响的不可预测的黑天鹅事件的洞察力。
The recent extreme volatility in cryptocurrency prices occurred in the setting of popular social media forums devoted to the discussion of cryptocurrencies. We develop a framework that discovers potential causes of phasic shifts in the price movement captured by social media discussions. This draws on principles developed in healthcare epidemiology where, similarly, only observational data are available. Such causes may have a major, one-off effect, or recurring effects on the trend in the price series. We find a one-off effect of regulatory bans on bitcoin, the repeated effects of rival innovations on ether and the influence of technical traders, captured through discussion of market price, on both cryptocurrencies. The results for Bitcoin differ from Ethereum, which is consistent with the observed differences in the timing of the highest price and the price phases. This framework could be applied to a wide range of cryptocurrency price series where there exists a relevant social media text source. Identified causes with a recurring effect may have value in predictive modelling, whilst one-off causes may provide insight into unpredictable black swan events that can have a major impact on a system.