Crypto-environment network connectivity and Bitcoin returns distribution tail behaviour
研究加密货币生态网络连通性（如链上链下市场连通、社交媒体活动强度等）能否预测比特币收益在不同分位数下的表现，发现某些连通性指标能预测价格暴涨和暴跌，但COVID-19前后效果不同。
This study explores whether and to what extent cryptocurrency ecosystem network connectivity predicts Bitcoin returns across quantiles of the return distribution. The facets of cryptocurrency ecosystem network connectivity we consider include connectivity between the on- and off-chain segments of the Bitcoin market, the intensity and synchronization of social and traditional crypto-focused media activity, the intensity of network correlations between cryptocurrencies. We identify tail behaviour predictors employing a quantile regression approach. The results demonstrate the effectiveness of several connectivity measures in predicting both price spikes and downfalls, but in a different way before and during the COVID-19 outbreak.