@inproceedings{26550e959c334e9e85b8ee581b774c25,
title = "Explaining Cryptocurrency Price Trends: Statistical Analysis of Social Media Posts vs Market Prices",
abstract = "We conduct a statistical analysis investigating whether one could explain the cryptocurrency price trends by their historical market prices or social media posts. Our study focuses on Bitcoin while considering both volume and sentiment of Bitcoin-related posts on Reddit. We developed a classifier based on BERT, which is well known to perform well for domain-specific tasks. We then study the Granger causality link between either post volume, post sentiment and Bitcoin price. Finally, we evaluate the returns of simple investment strategies based on either post volume, post sentiment or historical Bitcoin prices. Our most important findings, based on almost five years of data from Reddit, are that there are causality links between post volume and Bitcoin price, as well as post sentiment and Bitcoin price that are statistically significant, with the former one being more pronounced. Moreover, our study suggests that post volume on Reddit better explains Bitcoin price trends than historical price trends themselves.",
keywords = "Bert, Bitcoin, Granger Causality, Momentum Strategy, Reddit",
author = "Yajing Zhi and Lanfang Kong and Samed Atouati and Chan, \{T. H.Hubert\} and Mauro Sozio",
note = "Publisher Copyright: {\textcopyright} 2024 ACM.; 3rd Asia Conference on Algorithms, Computing and Machine Learning, CACML 2024 ; Conference date: 22-03-2024 Through 24-03-2024",
year = "2024",
month = mar,
day = "22",
doi = "10.1145/3654823.3654866",
language = "English",
series = "ACM International Conference Proceeding Series",
publisher = "Association for Computing Machinery",
pages = "234--239",
booktitle = "CACML 2024 - 2024 3rd Asia Conference on Algorithms, Computing and Machine Learning",
}