Abeyankar Giridharan

Fear Moves Markets: Sentiment-Augmented POMP for Volatility Modeling of Bitcoin Returns

Cryptocurrency markets exhibit extreme price swings and sentiment-driven regime shifts, which traditional volatility models often fail to capture. To address this, we develop a partially observed Markov processes (POMP) model augmented with sentiment and heavy-tailed distributions. Specifically, we extend Breto's frame...