Intraday Trading Algorithm for Predicting Cryptocurrency Price Movements Using Twitter Big Data Analysis

Vahidin Jeleskovic and Stephen Mackay

Papers from arXiv.org

Abstract: Cryptocurrencies have emerged as a novel financial asset garnering significant attention in recent years. A defining characteristic of these digital currencies is their pronounced short-term market volatility, primarily influenced by widespread sentiment polarization, particularly on social media platforms such as Twitter. Recent research has underscored the correlation between sentiment expressed in various networks and the price dynamics of cryptocurrencies. This study delves into the 15-minute impact of informative tweets disseminated through foundation channels on trader behavior, with a focus on potential outcomes related to sentiment polarization. The primary objective is to identify factors that can predict positive price movements and potentially be leveraged through a trading algorithm. To accomplish this objective, we conduct a conditional examination of return and excess return rates within the 15 minutes following tweet publication. The empirical findings reveal statistically significant increases in return rates, particularly within the initial three minutes following tweet publication. Notably, adverse effects resulting from the messages were not observed. Surprisingly, sentiments were found to have no discerni-ble impact on cryptocurrency price movements. Our analysis further identifies that inves-tors are primarily influenced by the quality of tweet content, as reflected in the choice of words and tweet volume. While the basic trading algorithm presented in this study does yield some benefits within the 15-minute timeframe, these benefits are not statistically significant. Nevertheless, it serves as a foundational framework for potential enhance-ments and further investigations.

Date: 2023-12
New Economics Papers: this item is included in nep-big, nep-cmp, nep-fmk, nep-mon, nep-mst and nep-pay
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2401.00603 Latest version (application/pdf)

Related works:
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:arx:papers:2401.00603

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().