Algorithmic Trading of Bitcoin Using Wikipedia and Google Search Volume

11 Pages Posted: 27 May 2018

See all articles by Alexander Dickerson

Alexander Dickerson

University of Warwick - Warwick Business School; Warwick Business School

Date Written: March 18, 2018

Abstract

Trading and speculating on Bitcoin is difficult. With large daily price movements and frequent price crashes, implementing quantitative trading strategies can be challenging. This paper presents a simple trading algorithm which uses the volume of Wikipedia and Google Trends search terms to generate trading signals for buying or selling Bitcoin. By exploiting the collective interest in Bitcoin as measured by search volume, findings suggest that highly profitable trading strategies can be constructed that avoid market crashes. The strategy based on the“Bitcoin” Google and Wikipedia search terms generates a cumulative return of 9418.04% and 3549.05% respectively.

Keywords: Bitcoin, Big data, Cryptocurrency, Trading Strategy

JEL Classification: G10, G11

Suggested Citation

Dickerson, Alexander and Dickerson, Alexander, Algorithmic Trading of Bitcoin Using Wikipedia and Google Search Volume (March 18, 2018). Available at SSRN: https://ssrn.com/abstract=3177738 or http://dx.doi.org/10.2139/ssrn.3177738

Alexander Dickerson (Contact Author)

Warwick Business School

Flat 83.2, Heronbank North, University of Warwick,
University of Warwick
Coventry, Warwickshire CV4 7ES
United Kingdom

University of Warwick - Warwick Business School ( email )

Coventry CV4 7AL
United Kingdom
07462066472 (Phone)

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