Paper Title :Cryptocurriency Price Movement: Cointegration and Sentiment Analysi

Author :Dhrubajyoti Dutta, Anurag Patel, Malcolm Athaide

Article Citation :Dhrubajyoti Dutta ,Anurag Patel ,Malcolm Athaide , (2018 ) " Cryptocurriency Price Movement: Cointegration and Sentiment Analysi " , International Journal of Management and Applied Science (IJMAS) , pp. 26-30, Volume-4,Issue-2

Abstract : This paper presents a study on the price movement of different cryptocurrencies. The paper analyzes two different topics related to virtual currencies. The first is a statistical test of cointegration and correlation between price movements of cryptocurrencies. We used ADF Test, Johansen Test and multivariate Box-Pierce test to check the cointegrating relationship between the series. Pearson correlation was used to find the correlation between price movements of cryptocurrencies. Evidence shows that cryptocurrencies do indeed cointegrated and are highly correlated to each other, however, sky rocketing price of bitcoin in past few months has weakened the correlation for that time period. The second topic is twitter sentiment analysis of bitcoin price. This study tries to analyze the effect of Twitter sentiment on the price of bitcoin. We used the chi-square test for testing our null hypothesis: bitcoin price is independent of twitter sentiment. Evidence shows that the bitcoin price is indeed independent of twitter sentiment. These two studies may be used by the cryptocurrency investors to optimize their cryptocurrency portfolio return.

Type : Research paper

Published : Volume-4,Issue-2

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