Do Google Trends forecast bitcoins? Stylized facts and statistical evidence
Document typeConference report
Rights accessOpen Access
All rights reserved. This work is protected by the corresponding intellectual and industrial property rights. Without prejudice to any existing legal exemptions, reproduction, distribution, public communication or transformation of this work are prohibited without permission of the copyright holder
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.
CitationArratia, A.; López, A. Do Google Trends forecast bitcoins? Stylized facts and statistical evidence. A: International Conference on Time Series and Forecasting. "ITISE 2019 : International Conference on Time Series and Forecasting : proceedings of papers". 2019, p. 331-342.