Modelling the Bitcoin prices and media attention to Bitcoin via the jump-type processes

【Author】 Morozova, Ekaterina; Panov, Vladimir

【Source】APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY

【影响因子】1.497

【Abstract】In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Levy processes and is able to realistically reproduce the jump-type dynamics of the considered time series. We focus on the low-frequency setup, which is for the Levy-based models essentially more difficult than the high-frequency case. We design a semiparametric estimation procedure for the statistical inference on the parameters and the Levy measures of the considered processes. We show that the dynamics of the market attention can be effectively modelled by the Levy processes with finite Levy measures, and propose a data-driven procedure for the description of the Bitcoin prices.

【Keywords】Bitcoin; deconvolution; Levy process; low-frequency data; media attention

【发表时间】2023 2023 JUL 13

【收录时间】2023-08-05

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-价格预测