Influencers, are they responsible for Bitcoin's volatility? Transfer entropy and Granger causality in prol of an answer
Autor(a) principal: | |
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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 |
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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 |
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info:eu-repo/semantics/openAccess |
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openAccess |
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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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