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Mathematical Research for Blockchain Economy pp 93–100Cite as

On Comparing the Influences of Exogenous Information on Bitcoin Prices and Stock Index Values

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Abstract

We consider time series analysis on cryptocurrencies such as Bitcoin. The traded values of any financial instrument could be seen as being influenced by market forces as well as underlying fundamentals relating to the performance of the asset. Bitcoin is somewhat different in this respect because there isn’t an underlying asset upon which its value may depend on. Here, by constructing a simple linear time series model, and by attempting to explain the variation in the residual signal by means of macroeconomic and currency exchange variables, we illustrate that the influencing variables are vastly different for cryptocurrencies from a stock indices (S&P 500) in both timescales analysed (daily and monthly values). We use a sequential estimation scheme (Kalman filter) to estimate the autoregressive model and a sparsity inducing linear regression with lags (LagLasso) to select relevant subsets of influencing variables to compare.

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Acknowledgements

Mahesan Niranjan acknowledges support from the project Joining the Dots: From Data to Insight (EP/N014189/1), funded by the Engineering and Physical Sciences Research Council, UK.

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Authors and Affiliations

  1. Electronics and Computer Science, University of Southampton, Southampton, UK

    Luis Montesdeoca & Mahesan Niranjan

Authors
  1. Luis Montesdeoca
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  2. Mahesan Niranjan
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Corresponding author

Correspondence to Luis Montesdeoca .

Editor information

Editors and Affiliations

  1. Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL, USA

    Panos Pardalos

  2. Wilfrid Laurier University, Waterloo, ON, Canada

    Ilias Kotsireas

  3. Data Science Institute, Imperial College London, London, UK

    Yike Guo

  4. Department of Computing, Imperial College London, London, UK

    William Knottenbelt

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Montesdeoca, L., Niranjan, M. (2020). On Comparing the Influences of Exogenous Information on Bitcoin Prices and Stock Index Values. In: Pardalos, P., Kotsireas, I., Guo, Y., Knottenbelt, W. (eds) Mathematical Research for Blockchain Economy. Springer Proceedings in Business and Economics. Springer, Cham. https://doi.org/10.1007/978-3-030-37110-4_7

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