A Socio-Finance Model: The Case of Bitcoin

Yongqiang Meng (1, 2) , Dehua Shen (2) , Xiong Xiong (2) , Jørgen Vitting Andersen (1, 3)

1 CES - Centre d'économie de la Sorbonne
2 TJU - Tianjin University
3 CNRS - Centre National de la Recherche Scientifique

This paper investigates the relations between multiple measures of investor sentiment and the returns, volatility, trading volume, and liquidity. Using both data outside and inside market, we find that the Bullishness from socio-finance model are significant related to future realized volatility and trading volume, similar to Tweet, which is thought to capture information of well-informed investors in Bitcoin market.

Domaines: Economies et finances

Yongqiang Meng, Dehua Shen, Xiong Xiong, Jørgen Vitting Andersen. A Socio-Finance Model: The Case of Bitcoin. 2020. ⟨halshs-03048777⟩