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The University of Southampton
Centre for Risk Research

Risk & Cryptocurrencies: Dynamic Topic Modeling of Bitcoin Message Boards Event

14:00 - 15:00
3 February 2017
Room 1039, Building 2 (Southampton Business School) Highfield Campus University of Southampton

For more information regarding this event, please telephone Dr Ian G.J. Dawson on 02380 598094 or email .

Event details

The Centre for Risk Research (CRR) is pleased to announced that Professor Wolfgang K. Härdle, the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration in Humboldt-Universität, Berlin, will deliver a CRR seminar on his recent research into topic modelling of cryptocurrency forums. Abstract: Cryptocurrencies are more and more used in official cash flows and exchange of goods. Bitcoin and the underlying blockchain technology have been looked at by big companies that are adopting and investing in this technology. The CRIX Index of cryptocurrencies indicates a wider acceptance of cryptos. One reason for its prosperity certainly being a security aspect, since the underlying network of cryptos is decentralized. It is also unregulated and highly volatile, making the risk assessment at any given moment difficult. In message boards one finds a huge source of information in the form of unstructured text written by e.g. Bitcoin developers and investors. We collect from a popular crypto currency message board texts, user information and associated time stamps. We then provide an indicator for fraudulent schemes. This indicator is constructed using dynamic topic modelling, text mining and unsupervised machine learning. We study how opinions and the evolution of topics are connected with big events in the cryptocurrency universe. Furthermore, the predictive power of these techniques are investigated, comparing the results to known events in the cryptocurrency space. We also test hypothesis of self-fulling prophecies and herding behaviour using the results.

Speaker information

Professor Wolfgang K. Hardle,Humboldt-Universität, Berlin,Wolfgang K. Härdle, has been director of the Ladislaus von Bortkiewicz Chair of Statistics at the Department of Economics and Business Administration at the Humboldt-Universität zu Berlin since 1992. He is Coordinator of the "Collaborative Research Center 649: Economic Risk". Since October 2013 he has also headed the newly established International Research Training Group, a joint project with Xiamen University in China. His research interests are smoothing methods, discrete choice models, statistical modelling of financial markets and computer-aided statistics. His more recent work deals with the modelling of implied volatilities and the statistical analysis of financial risk.

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