Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models
Ramit Sawhney, Shivam Agarwal, Vivek Mittal, Paolo Rosso, Vikram Nanda, Sudheer Chava
Abstract
The rapid spread of information over social media influences quantitative trading and investments. The growing popularity of speculative trading of highly volatile assets such as cryptocurrencies and meme stocks presents a fresh challenge in the financial realm. Investigating such “bubbles” - periods of sudden anomalous behavior of markets are critical in better understanding investor behavior and market dynamics. However, high volatility coupled with massive volumes of chaotic social media texts, especially for underexplored assets like cryptocoins pose a challenge to existing methods. Taking the first step towards NLP for cryptocoins, we present and publicly release CryptoBubbles, a novel multi- span identification task for bubble detection, and a dataset of more than 400 cryptocoins from 9 exchanges over five years spanning over two million tweets. Further, we develop a set of sequence-to-sequence hyperbolic models suited to this multi-span identification task based on the power-law dynamics of cryptocurrencies and user behavior on social media. We further test the effectiveness of our models under zero-shot settings on a test set of Reddit posts pertaining to 29 “meme stocks”, which see an increase in trade volume due to social media hype. Through quantitative, qualitative, and zero-shot analyses on Reddit and Twitter spanning cryptocoins and meme-stocks, we show the practical applicability of CryptoBubbles and hyperbolic models.- Anthology ID:
- 2022.naacl-main.405
- Volume:
- Proceedings of the 2022 Conference of the North American Chapter of the Association for Computational Linguistics: Human Language Technologies
- Month:
- July
- Year:
- 2022
- Address:
- Seattle, United States
- Editors:
- Marine Carpuat, Marie-Catherine de Marneffe, Ivan Vladimir Meza Ruiz
- Venue:
- NAACL
- SIG:
- Publisher:
- Association for Computational Linguistics
- Note:
- Pages:
- 5531–5545
- Language:
- URL:
- https://aclanthology.org/2022.naacl-main.405
- DOI:
- 10.18653/v1/2022.naacl-main.405
- Cite (ACL):
- Ramit Sawhney, Shivam Agarwal, Vivek Mittal, Paolo Rosso, Vikram Nanda, and Sudheer Chava. 2022. Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models. In Proceedings of the 2022 Conference of the North American Chapter of the Association for Computational Linguistics: Human Language Technologies, pages 5531–5545, Seattle, United States. Association for Computational Linguistics.
- Cite (Informal):
- Cryptocurrency Bubble Detection: A New Stock Market Dataset, Financial Task & Hyperbolic Models (Sawhney et al., NAACL 2022)
- PDF:
- https://preview.aclanthology.org/nschneid-patch-4/2022.naacl-main.405.pdf
- Code
- gtfintechlab/cryptobubbles-naacl