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Analysing Social Media Forums to Discover Potential Causes of Phasic Shifts in Cryptocurrency Price Series

Burnie, A; Yilmaz, E; Aste, T; (2020) Analysing Social Media Forums to Discover Potential Causes of Phasic Shifts in Cryptocurrency Price Series. Frontiers Blockchain , 3 , Article 1. 10.3389/fbloc.2020.00001. Green open access

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Abstract

The recent extreme volatility in cryptocurrency prices occurred in the setting of popular social media forums devoted to the discussion of cryptocurrencies. We develop a framework that discovers potential causes of phasic shifts in the price movement captured by social media discussions. This draws on principles developed in healthcare epidemiology where, similarly, only observational data are available. Such causes may have a major, one-off effect, or recurring effects on the trend in the price series. We find a one-off effect of regulatory bans on bitcoin, the repeated effects of rival innovations on ether and the influence of technical traders, captured through discussion of market price, on both cryptocurrencies. The results for Bitcoin differ from Ethereum, which is consistent with the observed differences in the timing of the highest price and the price phases. This framework could be applied to a wide range of cryptocurrency price series where there exists a relevant social media text source. Identified causes with a recurring effect may have value in predictive modelling, whilst one-off causes may provide insight into unpredictable black swan events that can have a major impact on a system.

Type: Article
Title: Analysing Social Media Forums to Discover Potential Causes of Phasic Shifts in Cryptocurrency Price Series
Open access status: An open access version is available from UCL Discovery
DOI: 10.3389/fbloc.2020.00001
Publisher version: https://doi.org/10.3389/fbloc.2020.00001
Language: English
Additional information: This work is licensed under a Creative Commons Attribution 4.0 International License. The images or other third party material in this article are included in the Creative Commons license, unless indicated otherwise in the credit line; if the material is not included under the Creative Commons license, users will need to obtain permission from the license holder to reproduce the material. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/
Keywords: Cryptocurrency, social media, causality, price, Reddit, bitcoin, Ethereum
UCL classification: UCL
UCL > Provost and Vice Provost Offices
UCL > Provost and Vice Provost Offices > UCL BEAMS
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science
UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science
URI: https://discovery.ucl.ac.uk/id/eprint/10100482
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