Neukom Prize for Outstanding Graduate Research
A Sentiment-Based Gradient Boosting Tree Model for Predicting Alternative Cryptocurrency Price Fluctuations
Tianyu Ray Lia, Anup S. Chamrajnagara, Xander R. Fonga, Nicholas R. Rizika
In this paper, we analyze Twitter signals as a medium for user sentiment to predict the price fluctuations of a small cap alternative cryptocurrency called ZClassic. We extracted tweets on an hourly basis for a period of 3.5 weeks, classifying each tweet as positive, neutral, or negative. We then compiled these tweets into an hourly sentiment index, creating an unweighted and weighted index, with the latter giving larger weight to retweets. These two indices, alongside the raw summations of positive, negative, and neutral sentiment were juxtaposed to ⇠ 400 data points of hourly pricing data to train an Extreme Gradient Boosting Regression Tree Model. Price predictions produced from this model were compared to historical price data, with the resulting predictions having a 0.81 correlation with the testing data.
Our model’s predictive data yielded statistical significance at the p < 0.0001 level. Our model is the first academic proof of concept that social media platforms such as Twitter can serve as powerful social signals for predicting price movements in the highly speculative alternative cryptocurrency, or “alt-coin”, market.