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Do Google Trends forecast bitcoins? Stylized facts and statistical evidence

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Abstract

In early 2018 Bitcoin prices peaked at US$ 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 price 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.

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Notes

  1. https://trends.google.com/trends/

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Funding

Research supported by Grant TIN2017-89244-R from MINECO (Ministerio de Economía, Industria y Competitividad) and the recognition 2017SGR-856 (MACDA) from AGAUR (Generalitat de Catalunya).

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Authors and Affiliations

  1. Department of Computer Sciences, Polytechnical University of Catalonia, Barcelona, Spain

    Argimiro Arratia

  2. Department of Mathematics, Autonomous University of Barcelona, Barcelona, Spain

    Albert X. López-Barrantes

Authors
  1. Argimiro Arratia
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  2. Albert X. López-Barrantes
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Correspondence to Argimiro Arratia.

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Supplementary Information

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Supplementary file 1 (csv 18.1 KB)

Appendix

Appendix

See Figs. 6 and 7.

Fig. 6
figure 6

Rolling Granger causality for GBT and BTC (top). GBT and ETH (bottom)

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Fig. 7
figure 7

Rolling Granger causality for GBT and XRP (top). GBT and LTC (bottom)

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Arratia, A., López-Barrantes, A.X. Do Google Trends forecast bitcoins? Stylized facts and statistical evidence. J BANK FINANC TECHNOL 5, 45–57 (2021). https://doi.org/10.1007/s42786-021-00027-4

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  • DOI: https://doi.org/10.1007/s42786-021-00027-4

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