A Socio-Finance Model: The Case of Bitcoin

Yongqiang Meng (), Dehua Shen, Xiong Xiong () and Jorgen Vitting Andersen ()
Additional contact information
Yongqiang Meng: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr
Xiong Xiong: College of Management and Economics - Tianjin University, http://come.tju.edu.cn/
Jorgen Vitting Andersen: Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.cnrs.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

Abstract: This paper investigates the relations between multiple measures of investor sentiment and the returns, volatility, trading volume, and liquidity. Using both data outside and inside market, we find that the Bullishness from socio-finance model are significant related to future realized volatility and trading volume, similar to Tweet, which is thought to capture information of well-informed investors in Bitcoin market

Keywords: socio-finance; sentiments; complex systems (search for similar items in EconPapers)
JEL-codes: G4 G40 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2020-10
New Economics Papers: this item is included in nep-cwa and nep-pay
References: Add references at CitEc
Citations:

Downloads: (external link)
http://mse.univ-paris1.fr/pub/mse/CES2020/20031.pdf (application/pdf)
https://halshs.archives-ouvertes.fr/halshs-03048777

Related works:
Working Paper: A Socio-Finance Model: The Case of Bitcoin (2020)
Working Paper: A Socio-Finance Model: The Case of Bitcoin (2020)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:20031

Access Statistics for this paper

More papers in Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Contact information at EDIRC.
Bibliographic data for series maintained by Lucie Label ().