Fear and Volatility in Digital Assets
2020-10-29Code Available1· sign in to hype
Faizaan Pervaiz, Christopher Goh, Ashley Pennington, Samuel Holt, James West, Shaun Ng
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- github.com/Globe-Research/bitfearOfficialIn papernone★ 14
Abstract
We show Bitcoin implied volatility on a 5 minute time horizon is modestly predictable from price, volatility momentum and alternative data including sentiment and engagement. Lagged Bitcoin index price and volatility movements contribute to the model alongside Google Trends with markets responding often several hours later. The code and datasets used in this paper can be found at https://github.com/Globe-Research/bitfear.