论文标题
社交媒体参与和加密货币性能
Social Media Engagement and Cryptocurrency Performance
论文作者
论文摘要
我们研究了使用社交媒体数据预测加密货币未来表现的问题。我们提出了一个新模型，以根据与社交媒体帖子的互动来衡量用户与社交媒体讨论的主题的参与。该模型克服了以前的卷和基于情感的方法的局限性。我们使用此模型来估计2019年至2021年之间在加密货币存在的第一个月中的数据中创建的48个加密货币的参与系数。我们发现加密货币的未来回报取决于参与系数。参与系数太低或太高的加密货币的回报较低。低参与系数表明缺乏兴趣，而高参与系数信号是人工活动，这可能来自自动化的bot。我们测量了加密货币的机器人柱数量，并发现通常，具有更多机器人柱的加密货币的未来回报较低。尽管未来的回报取决于机器人活动和参与系数，但依赖性对于参与系数最强，尤其是对于短期回报。我们显示，以超过固定阈值的参与系数选择加密货币的简单投资策略在几个月的固定时间内表现良好。
We study the problem of predicting the future performance of cryptocurrencies using social media data. We propose a new model to measure the engagement of users with topics discussed on social media based on interactions with social media posts. This model overcomes the limitations of previous volume and sentiment based approaches. We use this model to estimate engagement coefficients for 48 cryptocurrencies created between 2019 and 2021 using data from Twitter from the first month of the cryptocurrencies' existence. We find that the future returns of the cryptocurrencies are dependent on the engagement coefficients. Cryptocurrencies whose engagement coefficients are too low or too high have lower returns. Low engagement coefficients signal a lack of interest, while high engagement coefficients signal artificial activity which is likely from automated accounts known as bots. We measure the amount of bot posts for the cryptocurrencies and find that generally, cryptocurrencies with more bot posts have lower future returns. While future returns are dependent on both the bot activity and engagement coefficient, the dependence is strongest for the engagement coefficient, especially for short-term returns. We show that simple investment strategies which select cryptocurrencies with engagement coefficients exceeding a fixed threshold perform well for holding times of a few months.
