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Data Integration and Graphical Models for Cryptocurrencies
Short-Term Scientific Mission
Applicant name:
Luciana Dalla Valle
Start date:
11.07.2022
End date:
18.07.2022
Applicant institution:
University of Plymouth
Purpose of the grant:
The main purpose of this STSM is to develop novel, interpretable, explainable and transparent statistical methodology aiming at evaluating and predicting the price of financial products, in particular cryptocurrencies. Our approach will be based on graphical and dependence models, which will allow us to integrate asset prices with textual information gathered from social media platforms. Graphical models are probabilistic models expressing the conditional dependence structure between random variables. Dependence, or vine copula, models are mathematical models that allow the separation between the marginal distributions and their dependence structure and, in some particular cases, they can be represented via graphical models. In contrast to other “black-box” approaches, graphical and dependence models allow a transparent and immediate interpretation of results. In this project we will develop graphical and dependence models for cryptocurrencies and we will compare and contrast their performances.
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