Reddit as a prediction tool for crypto-assets

Cryptocurrencies, such as Bitcoin and Ethereum, have recently become a conversation topic among the general population. This paper will explore the information available in Reddit regarding crypto assets. Unlike other social platforms, Reddit allows analyzing the general population sentiment while c...

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Bibliographic Details
Published in:Revista Brasileira de Financas 2022-01, Vol.20 (1), p.1-39
Main Author: Camou, Luis Antonio Loredo
Format: Article
Language:English
Subjects:
Blockchain
Dictionaries
Digital currencies
Forecasting
Internet
Machine learning
Natural language processing
Sentiment analysis
Social networks
Trends
Volatility
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Summary:Cryptocurrencies, such as Bitcoin and Ethereum, have recently become a conversation topic among the general population. This paper will explore the information available in Reddit regarding crypto assets. Unlike other social platforms, Reddit allows analyzing the general population sentiment while conveniently organizing information by topic. We study the benefit of sentiment variables derived from Reddit's crypto forums to forecast volatilities and returns. While volatility forecasts seem to benefit from Reddit sentiment variables consistently, results are not statistically different from a benchmark. In contrast, returns present mixed forecasting results but show statistical differences from the proposed benchmark. We also offer evidence that the Reddit variables gain importance in market-wide and asset-specific events.
ISSN:1679-0731
1984-5146
DOI:10.12660/rbfin.v20n1.2022.83888