- freely available
J. Risk Financial Manag. 2020, 13(2), 23; https://doi.org/10.3390/jrfm13020023
3. Data Collection and Feature Engineering
3.1. Data Pre-Processing
3.2. Feature Selection
4. Model Implementation and Results
5. Portfolio Strategy
Conflicts of Interest
|Bitcoin Price||Bitcoin prices.||https://charts.bitcoin.com/btc/|
|BTC Price Volatility||The annualized daily volatility of price changes. Price volatility is computed as the standard deviation of daily returns, scaled by the square root of 365 to annualize, and expressed as a decimal.||https://charts.bitcoin.com/btc/|
|BTC Miner Revenue||Total value of Coinbase block rewards and transaction fees paid to miners. Historical data showing (number of bitcoins mined per day + transaction fees) * market price.||https://www.quandl.com/data/BCHAIN/MIREV-Bitcoin-Miners-Revenue|
|BTC Transaction Volume||The number of transactions included in the blockchain each day.||https://charts.bitcoin.com/btc/|
|Transaction Fees||Total amount of Bitcoin Core (BTC) fees earned by all miners in 24-hour period, measured in Bitcoin Core (BTC).||https://charts.bitcoin.com/btc/|
|Hash Rate||The number of block solutions computed per second by all miners on the network.||https://charts.bitcoin.com/btc/|
|Money Supply||The amount of Bitcoin Core (BTC) in circulation.||https://charts.bitcoin.com/btc/|
|Metcalfe-UTXO||Metcalfe’s Law states that the value of a network is proportional to the square of the number of participants in the network.||https://charts.bitcoin.com/btc/|
|Block Size||Miners collect Bitcoin Core (BTC) transactions into distinct packets of data called blocks. Each block is cryptographically linked to the preceding block, forming a "blockchain." As more people use the Bitcoin Core (BTC) network for Bitcoin Core (BTC) transactions, the block size increases.||https://charts.bitcoin.com/btc/|
|Google Trends||This is the month-wise Google search results for the Bitcoins.||https://trends.google.com|
|Volatility (VIX)||VIX is a real-time market index that represents the market’s expectation of 30-day forward-looking volatility.||http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data|
|Gold price Level||Gold price level.||https://www.quandl.com/data/WGC/GOLD_DAILY_USD-Gold-Prices-Daily-Currency-USD|
|US Dollar Index||The U.S. dollar index (USDX) is a measure of the value of the U.S. dollar relative to the value of a basket of currencies of the majority of the U.S.’ most significant trading partners.||https://finance.yahoo.com/quote/DX-Y.NYB/history?period1=1262332800&period2=1561878000&interval=1d&filter=history&frequency=1d|
|US Bond Yields||2-year / short-term yields.||https://www.quandl.com/data/USTREASURY/YIELD-Treasury-Yield-Curve-Rates|
|US Bond Yields||10-year/ long term yields.||https://www.quandl.com/data/USTREASURY/YIELD-Treasury-Yield-Curve-Rates|
|US Bond Yields||Difference between 2 year and 10 year/ synonymous with yield inversion and recession prediction||https://www.quandl.com/data/USTREASURY/YIELD-Treasury-Yield-Curve-Rates|
|MACD||MACD=12-Period EMA −26-Period EMA. We have taken the data of the MACD with the signal line.|
MACD line = 12-day EMA Minus 26-day EMA
Signal line = 9-day EMA of MACD line
MACD Histogram = MACD line Minus Signal line
|Ripple Price||The price of an alternative cryptocurrency.||https://coinmarketcap.com/currencies/ripple/historical-data/?start=20130428&end=20190924|
|One Day Lagged S&P 500 Market Returns||Stock market returns.||https://finance.yahoo.com/quote/%5EGSPC/history?period1=1230796800&period2=1568012400&interval=1d&filter=history&frequency=1d|
|Interest Rates||The federal funds rate decide the shape of the future interest rates in the economy.||http://www.fedprimerate.com/fedfundsrate/federal_funds_rate_history.htm#current|
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|Predictor Variables||VIF||Predictor Variables||VIF|
|Bitcoin daily lag returns||1.023||Block size||30.208|
|Daily transaction volume||2.823||MACD histogram||1.27|
|Price volatility||1.13||S&P lag returns||1.005|
|Miner revenue||28.664||Dollar index||6.327|
|Interest rates||49.718||2 Yr yield||3.074|
|Google trend||9.847||10 Yr yield||8.101|
|Money supply||8.462||Ripple price||5.866|
|Metcalf UTXO||12.003||Diff 2 yr–10 yr diff||11.283|
|Models||RMSE Train||RMSE Test||p-Value|
|Lookback Period (Days)||RMSE Train||RMSE Test||p-Value|
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