Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approach
加密货币对数收益预测:LASSO-VAR 与情绪方法
Cryptocurrencies have become a trendy topic recently, primarily due to their disruptive potential and reports of unprecedented returns. In addition, academics increasingly acknowledge the predictive power of Social Media in many fields and, more specifically, for financial markets and economics. In this paper, we leverage the predictive power of Twitter and Reddit sentiment together with Google Trends indexes and volume to forecast the log returns of ten cryptocurrencies.…