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0111 · Sep 202219922001200920172026
1 result for “LASSO-VAR”
Forecasting Cryptocurrencies Log-Returns: a LASSO-VAR and Sentiment Approachq-fin.ST

This paper forecasts cryptocurrency log-returns using LASSO-VAR and sentiment analysis.

problem Forecasting log-returns of cryptocurrencies using social media sentiment.
method LASSO-VAR model combined with Twitter and Reddit sentiment data.
result The model predicts the correct direction of cryptocurrency returns more than 50% of the time.
cryptocurrencieslog-returnsLASSO-VARsentiment analysisTwitter
2022-09-22abs ↗pdf ↗