paper
A sentiment-based model for the BitCoin: theory, estimation and option pricing
Alessandra Cretarola, Gianna Figà-Talamanca, Marco Patacca
A sentiment-based model for the BitCoin: theory, estimation and option pricing
Alessandra Cretarola, Gianna Figà-Talamanca, Marco Patacca
Paper2017-09-23English
derivatives pricingarxiv
Description
In recent literature it is claimed that BitCoin price behaves more likely to a volatile stock asset than a currency and that changes in its price are influenced by sentiment about the BitCoin system itself; in Kristoufek [10] the author analyses transaction based as well as popularity based potential drivers of the BitCoin price finding positive evidence. Here, we endorse this finding and consider a bivariate model in continuous time to describe the price dynamics of one BitCoin as well as a sec...
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