Research On Impacts Of Internet Factors And Financial Futures On Bitcoin Price And Price Prediction

Since Bitcoin's trading in 2010,its price has been volatile and difficult to measure.The emergence of Bitcoin's underlying technology Blockchain and the increasing number of investors has captured the attention of regulators and academics.Accompanying with the population of Bitcoin are the vexing questions: Which factors have impact on Bitcoin price? To what extent the factors can impact? With the rising accept of Bitcoin in traditional financial markets and the entrance of institutional investors,individual investors are thinking how to make better decisions.Employed Bitcoin daily price and 5-minute price as samples,this study use econometric models and machine learning algorithms.Drawn from the theory of behavioral finance and the perspective of “Bitcoin as a financial asset with strong internet characteristics”,we analyze the impact of Internetrelated factors and Bitcoin futures on Bitcoin price,and predict Bitcoin price using Machine learning algorithms.The research contents are as follows.(1)Based on Bitcoin's Internet characteristics,we analyze the different impacts of online search and media coverage on Bitcoin price.The results show that the change in online search volume as a channel for investors to acquire decision making information contains new information about the price of Bitcoin,and has a positive prediction power on the price and price fluctuation of bitcoin in the short term.In the long run,compared with online search volume change and the number of media coverage,media coverage sentiment has stronger explanation power for Bitcoin price changes due to its continuity.(2)Based on Bitcoin's financial asset characteristics,we try to study the launch of Bitcoin futures on Bitcoin market.Similar with stock market,the overreaction of investors lead to the change of Bitcoin price and return.Findings show that after the disclosure of the launch of bitcoin futures,Bitcoin price fall after rise and the cumulative abnormal returns has a significant reverse from positive to negative.After the launch of Bitcoin futures,the volatility of bitcoin market increases significantly.Bitcoin futures' explanation power to bitcoin price variance is stronger than that of internet-related factors.(3)We try to discuss Bitcoin investment decision making using AI.Combined with the influence factors studied in the above two parts,we first focus on features engineering,and predict the change of Bitcoin daily price and 5-minute price using machine learning algorithms.Then we try to explore the applicability of the algorithms to samples with different frequency and features.Findings show that when predicting the daily price of Bitcoin with more features,the linear models perform better;while the more complex machine learning models perform better in the prediction of Bitcoin 5-minute price change with less features.Furthermore,we find that the Internet-related factors and Bitcoin futures can generally improve the performance of Bitcoin price prediction.This study highlights the Internet characteristics of Bitcoin as a financial asset,and enrich the theory and achievement of the impact factors of Bitcoin price.Extending the behavioral finance theory to the field of financial technology,this study supplements the research on Bitcoin futures as well as Bitcoin price prediction using machine learning algorithms.Furthermore,the findings help regulators with the future cryptocurrencies regulations,dealing with the potential risk brought by cryptocurrencies and curbing the unstable factors.What's more,this study provide reference information for evaluating the impact of the introduction of Bitcoin futures,help investors understand the trend of bitcoin price and have better performance in investment decisions making.