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Research Letter

What affects the price of Bitcoin? Evidence from game theory and machine learning

Mingchen Lia Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;b School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing, ChinaView further author information
,
Wencan Lina Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;b School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing, ChinaView further author information
,
Yunjie Weia Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;b School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing, ChinaCorrespondence[email protected]
View further author information
,
Shouyang Wanga Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China;b School of Mathematical Sciences, University of Chinese Academy of Sciences, Beijing, China;c Center for Forecasting Science, Chinese Academy of Sciences, Beijing, ChinaView further author information
&
Jiani Henga Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, ChinaView further author information
Published online: 30 Nov 2023
 
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ABSTRACT

To explain the volatility of the Bitcoin price, a total of 23 elements from four domains (Bitcoin-related indicators, financial market, exchange rates and commodities, and social sentiment) were collected. With the application of machine learning and game theory, experimental results demonstrate that S&P 500 is the most significant factor on the Bitcoin price and the safe haven effect of Bitcoin for the stock market failed when the Bitcoin price rose and the COVID-19 spread.

JEL CLASSIFICATION:

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

1 See www.cryprocompare.com (CryptoCompare), www.investing.com (Investing), trends.google.com (Google Trends), www.coindesk.com(Coindesk) and twitter.com(Twitter).

Additional information

Funding

The work was supported by the National Natural Science Foundation of China [71988101, 72171223].

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