Title: Multi-channel discourse as an indicator for Bitcoin price and volume movements,
Abstract: This research aims to identify how Bitcoin-related news publications and
online discourse are expressed in Bitcoin exchange movements of price and
volume. Being inherently digital, all Bitcoin-related fundamental data (from
exchanges, as well as transactional data directly from the blockchain) is
available online, something that is not true for traditional businesses or
currencies traded on exchanges. This makes Bitcoin an interesting subject for
such research, as it enables the mapping of sentiment to fundamental events
that might otherwise be inaccessible. Furthermore, Bitcoin discussion largely
takes place on online forums and chat channels. In stock trading, the value of
sentiment data in trading decisions has been demonstrated numerous times [1]
[2] [3], and this research aims to determine whether there is value in such
data for Bitcoin trading models. To achieve this, data over the year 2015 has
been collected from Bitcointalk.org, (the biggest Bitcoin forum in post
volume), established news sources such as Bloomberg and the Wall Street
Journal, the complete /r/btc and /r/Bitcoin subreddits, and the bitcoin-otc and
bitcoin-dev IRC channels. By analyzing this data on sentiment and volume, we
find weak to moderate correlations between forum, news, and Reddit sentiment
and movements in price and volume from 1 to 5 days after the sentiment was
expressed. A Granger causality test confirms the predictive causality of the
sentiment on the daily percentage price and volume movements, and at the same
time underscores the predictive causality of market movements on sentiment
expressions in online communities