Predictive power of crypto price signals
Attached you find a data set of price signals of 4 different crypto-currencies.
1a) Does the price movement of a crypto-currency imply predictive power over other currencies? Investigate the predictive power of crypto-currencies using the price data of the attached excel file. Experiment with different variables of multiple, consecutive time-frames (1w, 2w, 3w, 4w – 5w? 6w?)
Which crypto-currency proves to be considered as a driver? Interpret your results.
1b) Please instrumentalize Google Trends. Select one crypto-currency of the four listed ones, and instrumentalize keywords to proxy for negative and positive sentiment. Control for the time frame and region of google trend analytics.
Would the positive or negative sentiment have bigger impact on the price movements? Interpret and discuss your results, based on your readings on crypto-currencies and on behavioural decision-making.
Submission: Use the format of your preference, and submit for both exercises (i.e. 1a und 1b) the 1) regression results as well as the 2) interpretation&discussion of your results. For 1b), please include as well the followings: The selection strategy & process of the keywords + data you used related to the search statistics. The interpretation of the results shall not exceed 2 pages, including references (both academic and commercial) you use.
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