Extracting Cryptocurrency Price Movements from the Reddit Network Sentiment

Explosive growth in the value of cryptocurrencies like Bitcoin and Ethereum in recent years has attracted the attention of many speculators. Unlike traditional currencies, cryptocurrencies are not backed by any government agencies resulting in prices being strongly influenced by public opinion. Understanding the relationship between cryptocurrency prices and the public sentiment can lead to improved predictions of price movement. In this paper, we give an exploratory analysis of a network of 24 Reddit communities related to Bitcoin, Ethereum, or other cryptocurrencies to analyze Bitcoin and Ethereum price movements. We engineer a set of 112 time series features from submissions and comments made on the selected subreddits, run Granger causality tests on engineered time series against cryptocurrency price movements, and use these time series to forecast the cryptocurrency price movements using classification models. Results from these models support the Granger causality test results showing that with only lagged price values and lagged values from a single Reddit data derived feature, the direction of Bitcoin and Ethereum price movements can be predicted with 74.2% and 73.1% accuracy respectively.