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News sentiment analysis using ChatGPT for Bitcoin price dynamics: Application of statistical and machine learning methods

Version 1.0

Fiszeder, Piotr; Pietrzyk, Radosław, 2025, "News sentiment analysis using ChatGPT for Bitcoin price dynamics: Application of statistical and machine learning methods", https://doi.org/10.18150/WEATTF, RepOD, V1

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Description

Data cover the period from January 1, 2021, to March 31, 2024.

It includes:

logarithms of realized variance for BTC/USD (lRVd,t), daily logarithmic returns (rd,t), logarithms of first lags for daily (lRVd,t-1), weekly (lRVw,t-1), and monthly (lRVm,t-1) realized variances and

sentiment indicators from ChatGPT connected with: (1) a potential short-term price increase or decrease (XP), (2) a potential short-term increase or decrease in volatility (XV1), (3) a potential short-term high or low volatility (XV2) and unidirectional sentiment indicators connected with: (4) the short-term expectations of a increase in BTC price (XP+),(5) the short-term expectations of a decrease in BTC price (XP-), (6) the short-term expectations of a increase in BTC volatility (XV1+), (7) the short-term expectations of a decrease in BTC volatility (XV1-), (8) the short-term expectations of high BTC volatility (XV2+), (9) the short-term expectations of low BTC volatility (XV2-).  

Subject
Social Sciences
Keyword

ChatGPT, cryptocurrencies, Bitcoin

Related Publication

Fiszeder, P., Orzeszko, W., Pietrzyk, R., 2025. News sentiment analysis using ChatGPT for Bitcoin price dynamics: Application of statistical and machine learning methods. :

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readme.txt
Plain Text - 1.4 KB - Jan 24, 2025 - 1 Download
MD5: 1234cec07cfc2e2653cca43cfc35288a
License: CC0 Creative Commons Zero 1.0
Description of data
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License: CC BY - Creative Commons Attribution 4.0
15 Variables, 1186 Observations - UNF:6:WcLHqiSaN1uUSw9q0XFSPw==
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