Calendar

Nov
22
jeu
Cryptofinance Seminar, FinTech – Bitcoin prices and market attention with Marco Patacca
Nov 22 @ 18 h 00 min – 19 h 00 min

 

Organisateurs:

Cyril Gunspan (ESILV,De Vinci)

Ricardo Pérez-Marco (CNRS, IMJ-PRG, Labex MME-DIILabex ReFi)

Université Paris Diderot

8 Place Aurélie Nemours,

Bâtiment Sophie Germain,  Amphi Alan Turing. 

75013 Paris

Marco Patacca

Léonard de Vinci

« Bitcoin prices and market attention » 

Abstract

In this work we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to historical data from January 1, 2012 to December 31, 2017; two non-overlapping subsamples are also considered. Outcomes confirm our conjecture that market attention has an impact on Bitcoin returns. Specifically, trading volume related measures affect both the mean and the conditional variance of Bitcoin returns while internet searches volume mainly affects the conditional variance of returns. Motivated by these evidences we propose a continuous time model for Bitcoin price, we obtain an approximate formula for the likelihood and we fit the model to historical data.

 

Informations détaillées sur cet événement : Lien page de l’organisateur

 

 

© 2017 Labex Refi - admin by G. Dimopoulos & S. Dehmej - website by follow media - Mentions légales