Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes

In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy processes and is able to realistically reproduce the jump-type dynamics of the considered time series. We focus on the low-frequency setup, which is for the Lévy - based models essentially more difficult than the high-frequency case. We design a semiparametric estimation procedure for the statistical inference on the parameters and the Lévy measures of the considered processes. We show that the dynamics of the market attention can be effectively modelled by the Lévy processes with finite Lévy measures, and propose a data-driven procedure for the description of the Bitcoin prices.