Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer

Detalhes bibliográficos
Autor(a) principal: Lage, Jana Luisa Teixeira
Data de Publicação: 2022
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/27014
Resumo: Bitcoin, like any other cryptocurrency, is subject to fluctuations in price. The volatility of this market can be a reflection of several reasons, such as public opinion, social networks and news. Social networks, in particular Twitter, are increasingly used as an important source of value extraction because through this network, it is possible to find out about news in real-time, follow the repercussions, know what experts in the financial world are commenting or thinking and even decide based on influencer's opinion whether to invest or not. This study investigates the influence that a specific group of people exert on Bitcoin volatility. A selection of influencers from the “crypto world” was made, and through the Twitter API, it was possible to select the tweets of the object of study. To choose the classification model for sentiment analysis, two techniques were compared, one being very popular with a focus on the domain of social networks and the other recently created and focused on finance. From the selected technique, only positive and negative sentiments were considered, and then the daily series of the Sentiment Score was calculated. Next, the causal relationship between Bitcoin and sentiment was investigated using Granger causality and Transfer Entropy tests. Transfer Entropy showed encouraging results, suggesting that there is a transfer of information from Sentiment to Returns and that it is possible for an influencer to contribute to Bitcoin’s volatility
id RCAP_813948d3ee220e7e5b9b51b6352cd038
oai_identifier_str oai:repositorio.iscte-iul.pt:10071/27014
network_acronym_str RCAP
network_name_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository_id_str 7160
spelling Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answerBitcoinBTCCryptocurrencyAnálise de sentimentos -- Sentiment analysisGranger causalityTransfer entropyCriptomoedaCausalidade de GrangerEntropia de transferênciaBitcoin, like any other cryptocurrency, is subject to fluctuations in price. The volatility of this market can be a reflection of several reasons, such as public opinion, social networks and news. Social networks, in particular Twitter, are increasingly used as an important source of value extraction because through this network, it is possible to find out about news in real-time, follow the repercussions, know what experts in the financial world are commenting or thinking and even decide based on influencer's opinion whether to invest or not. This study investigates the influence that a specific group of people exert on Bitcoin volatility. A selection of influencers from the “crypto world” was made, and through the Twitter API, it was possible to select the tweets of the object of study. To choose the classification model for sentiment analysis, two techniques were compared, one being very popular with a focus on the domain of social networks and the other recently created and focused on finance. From the selected technique, only positive and negative sentiments were considered, and then the daily series of the Sentiment Score was calculated. Next, the causal relationship between Bitcoin and sentiment was investigated using Granger causality and Transfer Entropy tests. Transfer Entropy showed encouraging results, suggesting that there is a transfer of information from Sentiment to Returns and that it is possible for an influencer to contribute to Bitcoin’s volatilityO Bitcoin, assim como qualquer outra criptomoeda, está sujeito a flutuações no preço. A volatilidade desse mercado pode ser reflexo de vários motivos, tais como, opinião pública, redes sociais e notícias. As redes sociais, em particular o Twitter, cada vez mais é utilizado como uma fonte importante de extração de valor, isto porque através desta rede é possível saber das novidades em tempo real, acompanhar as repercussões, saber o que entendedores do mundo financeiro estão a comentar e decidir até mesmo com base na opinião de um influenciador se irá investir ou não. Este estudo investiga a influência que determinadas pessoas exercem sobre a volatilidade do Bitcoin. Foi feita uma seleção de influenciadores do “mundo crypto” e através da API do Twitter foi possível selecionar os tweets de objeto de estudo. Para a escolha do modelo de classificação para análise de sentimento foram comparadas duas técnicas, sendo uma muito popular com foco no domínio de redes sociais e a outra recém-criada e focada em finanças. A partir da técnica selecionada, apenas os sentimentos positivos e negativos foram considerados e então calculada a série diária do Sentiment Score. A seguir foi investigada a relação causal entre o Bitcoin e o sentiment utilizando os testes de causalidade de Granger e Entropia de Transferência. A Entropia de Transferência mostrou resultados animadores que sugerem existir transferência de informação de Sentiment para Returns e que, portanto, é possível que um influencer contribua para a volatilidade do Bitcoin.2023-01-05T11:57:59Z2022-12-20T00:00:00Z2022-12-202022-11info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/27014TID:203134761engLage, Jana Luisa Teixeirainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:46:26Zoai:repositorio.iscte-iul.pt:10071/27014Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:22:19.999326Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
title Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
spellingShingle Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
Lage, Jana Luisa Teixeira
Bitcoin
BTC
Cryptocurrency
Análise de sentimentos -- Sentiment analysis
Granger causality
Transfer entropy
Criptomoeda
Causalidade de Granger
Entropia de transferência
title_short Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
title_full Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
title_fullStr Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
title_full_unstemmed Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
title_sort Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
author Lage, Jana Luisa Teixeira
author_facet Lage, Jana Luisa Teixeira
author_role author
dc.contributor.author.fl_str_mv Lage, Jana Luisa Teixeira
dc.subject.por.fl_str_mv Bitcoin
BTC
Cryptocurrency
Análise de sentimentos -- Sentiment analysis
Granger causality
Transfer entropy
Criptomoeda
Causalidade de Granger
Entropia de transferência
topic Bitcoin
BTC
Cryptocurrency
Análise de sentimentos -- Sentiment analysis
Granger causality
Transfer entropy
Criptomoeda
Causalidade de Granger
Entropia de transferência
description Bitcoin, like any other cryptocurrency, is subject to fluctuations in price. The volatility of this market can be a reflection of several reasons, such as public opinion, social networks and news. Social networks, in particular Twitter, are increasingly used as an important source of value extraction because through this network, it is possible to find out about news in real-time, follow the repercussions, know what experts in the financial world are commenting or thinking and even decide based on influencer's opinion whether to invest or not. This study investigates the influence that a specific group of people exert on Bitcoin volatility. A selection of influencers from the “crypto world” was made, and through the Twitter API, it was possible to select the tweets of the object of study. To choose the classification model for sentiment analysis, two techniques were compared, one being very popular with a focus on the domain of social networks and the other recently created and focused on finance. From the selected technique, only positive and negative sentiments were considered, and then the daily series of the Sentiment Score was calculated. Next, the causal relationship between Bitcoin and sentiment was investigated using Granger causality and Transfer Entropy tests. Transfer Entropy showed encouraging results, suggesting that there is a transfer of information from Sentiment to Returns and that it is possible for an influencer to contribute to Bitcoin’s volatility
publishDate 2022
dc.date.none.fl_str_mv 2022-12-20T00:00:00Z
2022-12-20
2022-11
2023-01-05T11:57:59Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/27014
TID:203134761
url http://hdl.handle.net/10071/27014
identifier_str_mv TID:203134761
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
_version_ 1799134785015119872

Registros relacionados