Fear and Volatility in Digital Assets

Faizaan Pervaiz, Christopher Goh, Ashley Pennington, Samuel Holt, James West and Shaun Ng

Papers from arXiv.org

Abstract: We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to the model alongside Google Trends with markets responding often several hours later. The code and datasets used in this paper can be found at https://github.com/Globe-Research/bitfear.

Date: 2020-10
New Economics Papers: this item is included in nep-big, nep-pay and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2010.15611

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