Autor:	Pervaiz, Faizaan, Goh, Christopher, Pennington, Ashley, Holt, Samuel, West, James, Ng, Shaun
Rok vydání:	2020
Předmět:	Quantitative Finance - Statistical Finance
Druh dokumentu:	Working Paper
Popis:	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. Comment: 9 pages, 3 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2010.15611 Zobrazit plný text záznamu View this record from Arxiv