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Google Trends and Asset Pricing: Evidence from Cryptocurrency Markets

Student: Grigoriy Delektorskiy

Supervisor: Victoria V. Dobrynskaya

Faculty: Faculty of Economic Sciences

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Year of Graduation: 2018

The paper studies the mechanism of pricing in the market of crypto-currencies and examines the possibility of applying analysis of search queries for the prediction of prices on this market. We collect data about the popularity of search queries in time from Google Trends, and then examine the time dependence of the market price of various crypto-currencies (Bitcoin, Ethereum, Litecoin) on the number of relevant search queries. The model shows mixed results for different currencies. So, the price of bitcoin reveals a strong and significant dependence on the number of the same requests; on the other hand, the prices Ethereum and Litecoin show a weak connection with the number of requests for them, but their price depends heavily on the price of bitcoin, hence the number of search queries on it.

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