Google search trends based investment strategies in cryptocurrency markets

Detalhes bibliográficos
Autor(a) principal: Gliga, Alec Constantin
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/144613
Resumo: This work is the individual component of a “Quantitative Investment Strategy” Field Lab project. The goal of this project is to extend and add on to the research on the topic of Google Search query volumes as a predictor for price movements in crypto currency markets. An intuitive signal was created using simple moving averages as well as exponential moving averages with different parameters. The analysis includes four different long-only and long-short portfolios of which one of the long-only portfolio stands out, asit outperforms the market through all sub-samples with a statistically significant alpha.
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spelling Google search trends based investment strategies in cryptocurrency marketsFinanceFinancial marketsCryptocurrencyData analyticsDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis work is the individual component of a “Quantitative Investment Strategy” Field Lab project. The goal of this project is to extend and add on to the research on the topic of Google Search query volumes as a predictor for price movements in crypto currency markets. An intuitive signal was created using simple moving averages as well as exponential moving averages with different parameters. The analysis includes four different long-only and long-short portfolios of which one of the long-only portfolio stands out, asit outperforms the market through all sub-samples with a statistically significant alpha.Hirschey, NicholasRUNGliga, Alec Constantin2022-01-102021-12-172025-12-17T00:00:00Z2022-01-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/144613TID:203062868enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:24:19Zoai:run.unl.pt:10362/144613Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:51:38.986312Repositório 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 Google search trends based investment strategies in cryptocurrency markets
title Google search trends based investment strategies in cryptocurrency markets
spellingShingle Google search trends based investment strategies in cryptocurrency markets
Gliga, Alec Constantin
Finance
Financial markets
Cryptocurrency
Data analytics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Google search trends based investment strategies in cryptocurrency markets
title_full Google search trends based investment strategies in cryptocurrency markets
title_fullStr Google search trends based investment strategies in cryptocurrency markets
title_full_unstemmed Google search trends based investment strategies in cryptocurrency markets
title_sort Google search trends based investment strategies in cryptocurrency markets
author Gliga, Alec Constantin
author_facet Gliga, Alec Constantin
author_role author
dc.contributor.none.fl_str_mv Hirschey, Nicholas
RUN
dc.contributor.author.fl_str_mv Gliga, Alec Constantin
dc.subject.por.fl_str_mv Finance
Financial markets
Cryptocurrency
Data analytics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Finance
Financial markets
Cryptocurrency
Data analytics
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This work is the individual component of a “Quantitative Investment Strategy” Field Lab project. The goal of this project is to extend and add on to the research on the topic of Google Search query volumes as a predictor for price movements in crypto currency markets. An intuitive signal was created using simple moving averages as well as exponential moving averages with different parameters. The analysis includes four different long-only and long-short portfolios of which one of the long-only portfolio stands out, asit outperforms the market through all sub-samples with a statistically significant alpha.
publishDate 2021
dc.date.none.fl_str_mv 2021-12-17
2022-01-10
2022-01-10T00:00:00Z
2025-12-17T00:00:00Z
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/10362/144613
TID:203062868
url http://hdl.handle.net/10362/144613
identifier_str_mv TID:203062868
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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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
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