Causal inference between cryptocurrency narratives and prices: Evidence from a complex dynamic ecosystem

【Author】 Azqueta-Gavaldon, Andres

【Source】PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

【影响因子】3.778

【Abstract】In this note, I explore the causal relationship between narratives propagated by the media and crypto prices. Firstly, I unveil four cryptocurrency-related narratives: investment, technological innovation, security breaches and regulation. Secondly, after acknowledging their tone (sentiment), I apply Convergent Cross Mapping (CCM) to assess the causal relationship between narratives and prices. I find strong bi-directional causal relationships between narratives concerning investment and regulation while a uni-directional causal association exists in narratives relating technology and security to prices. Therefore, this work contributes to the recent economic literature that connects consumer behaviour to narratives. (C) 2019 Elsevier B.V. All rights reserved.

【Keywords】Narratives; Cryptocurrencies; Sentiment analysis; Latent dirichlet allocation (LDA); Complex dynamic systems; Convergent cross mapping (CCM)

【发表时间】2020 1-Jan

【收录时间】2022-01-02

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