Do Google Trends Forecast Bitcoins? Stylized Facts and Statistical Evidence

ITISE 2019 (6th International conference on Time Series and Forecasting)

12 Pages Posted: 7 Aug 2019

See all articles by Argimiro Arratia

Argimiro Arratia

Polytechnic University of Catalonia (UPC)

Albert López-Barrantes

Autonomous University of Barcelona

Date Written: August 3, 2019

Abstract

In early 2018 Bitcoin prices peaked at USD 20,000 and, almost two years later, we still continue debating if cryptocurrencies can actually become a currency for the everyday life or not. From the economic point of view, and playing in the field of behavioral finance, this paper analyses the relation between Bitcoin prices and the search interest on "Bitcoin" since 2014. We questioned the forecasting ability of Google Bitcoin Trends for the behavior of Bitcoin price by performing linear and nonlinear dependency tests, and exploring performance of ARIMA and Neural Network models enhanced with this social sentiment indicator. Our analyses and models are founded upon a set of statistical properties common to financial returns that we establish for Bitcoin, Ethereum, Ripple and Litecoin.

Keywords: Google Trends, Bitcoin, causality, ARIMA, Neural Networks

JEL Classification: C15, C45, C52, C53

Suggested Citation

Arratia, Argimiro and López-Barrantes, Albert, Do Google Trends Forecast Bitcoins? Stylized Facts and Statistical Evidence (August 3, 2019). ITISE 2019 (6th International conference on Time Series and Forecasting) , Available at SSRN: https://ssrn.com/abstract=3431713

Argimiro Arratia (Contact Author)

Polytechnic University of Catalonia (UPC) ( email )

C. Jordi Girona, 31
Barcelona, 08034
Spain

Albert López-Barrantes

Autonomous University of Barcelona ( email )

Plaça Cívica
Cerdañola del Valles
Barcelona, Barcelona 08193
Spain

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
82
Abstract Views
378
rank
334,344
PlumX Metrics