On Comparing the Influences of Exogenous Information on Bitcoin Prices and Stock Index Values

DOI10.1007/978-3-030-37110-4_7zbMath1442.62753OpenAlexW3006378542MaRDI QIDQ3294786

Luis Montesdeoca, Mahesan Niranjan

Publication date: 29 June 2020

Published in: Mathematical Research for Blockchain Economy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-37110-4_7

zbMATH Keywords

Kalman filterbitcoinlinear regression with lags (LagLasso)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Sequential estimation (62L12)

Cites Work

• Unnamed Item
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
• Predicting crypto‐currencies using sparse non‐Gaussian state space models

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