Wavelet Analysis of Bitcoin Price and Twitter-Based Economic Uncertainty Index

Abstract

In this paper, we analyze the time-series graphs of Bitcoin price and Twitter-based economic uncertainty index over the past two years and use a wavelet coherence graph to determine their relationship. We found a causal relationship between Bitcoin (BTC) and Twitter-based economic uncertainty (TEU) index in different frequency bands, which would help predict Bitcoin price movements in the future. Our study provides reference to academics and investors.