论文标题
通过跳高型流程对比特币价格和媒体对比特币的关注进行建模
Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes
论文作者
论文摘要
在本文中，我们提出了一种新的双变量模型，以共同描述比特币价格和媒体对比特币的关注。我们的模型基于Lévy过程的类别，并且能够现实地重现考虑时间序列的跳跃型动力学。我们专注于低频设置，该设置对于莱维（Lévy）模型基本上比高频案例更加困难。我们设计了一个半参数估计程序，用于对所考虑过程的参数和列维测量的统计推断。我们表明，可以通过有限的Lévy措施的Lévy流程有效地建模市场关注的动态，并提出了一个数据驱动的程序来描述比特币价格。
In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy processes and is able to realistically reproduce the jump-type dynamics of the considered time series. We focus on the low-frequency setup, which is for the Lévy - based models essentially more difficult than the high-frequency case. We design a semiparametric estimation procedure for the statistical inference on the parameters and the Lévy measures of the considered processes. We show that the dynamics of the market attention can be effectively modelled by the Lévy processes with finite Lévy measures, and propose a data-driven procedure for the description of the Bitcoin prices.
