{"id":"https://openalex.org/W4417302525","doi":"https://doi.org/10.1016/j.asoc.2025.114384","title":"Identification of Bitcoin volatility drivers using statistical and machine learning methods","display_name":"Identification of Bitcoin volatility drivers using statistical and machine learning methods","publication_year":2025,"publication_date":"2025-12-13","ids":{"openalex":"https://openalex.org/W4417302525","doi":"https://doi.org/10.1016/j.asoc.2025.114384"},"language":"en","primary_location":{"id":"doi:10.1016/j.asoc.2025.114384","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.asoc.2025.114384","pdf_url":null,"source":{"id":"https://openalex.org/S140556538","display_name":"Applied Soft Computing","issn_l":"1568-4946","issn":["1568-4946","1872-9681"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Soft Computing","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.1016/j.asoc.2025.114384","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5048259466","display_name":"Piotr Fiszeder","orcid":"https://orcid.org/0000-0002-9777-2239"},"institutions":[{"id":"https://openalex.org/I3019271933","display_name":"Nicolaus Copernicus University","ror":"https://ror.org/0102mm775","country_code":"PL","type":"education","lineage":["https://openalex.org/I3019271933"]},{"id":"https://openalex.org/I35913352","display_name":"Prague University of Economics and Business","ror":"https://ror.org/029ecwj92","country_code":"CZ","type":"education","lineage":["https://openalex.org/I35913352"]}],"countries":["CZ","PL"],"is_corresponding":false,"raw_author_name":"Piotr Fiszeder","raw_affiliation_strings":["Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, ul. Gagarina 13a, Torun 87-100, Poland","Faculty of Finance and Accounting, Prague University of Economics and Business, n\u00e1m. W. Churchilla 1938/4, Prague 3, 130 67, Czech Republic"],"raw_orcid":"https://orcid.org/0000-0002-9777-2239","affiliations":[{"raw_affiliation_string":"Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, ul. Gagarina 13a, Torun 87-100, Poland","institution_ids":["https://openalex.org/I3019271933"]},{"raw_affiliation_string":"Faculty of Finance and Accounting, Prague University of Economics and Business, n\u00e1m. W. Churchilla 1938/4, Prague 3, 130 67, Czech Republic","institution_ids":["https://openalex.org/I35913352"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5036373465","display_name":"Witold Orzeszko","orcid":"https://orcid.org/0000-0001-7473-7775"},"institutions":[{"id":"https://openalex.org/I3019271933","display_name":"Nicolaus Copernicus University","ror":"https://ror.org/0102mm775","country_code":"PL","type":"education","lineage":["https://openalex.org/I3019271933"]}],"countries":["PL"],"is_corresponding":false,"raw_author_name":"Witold Orzeszko","raw_affiliation_strings":["Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, ul. Gagarina 13a, Torun 87-100, Poland"],"raw_orcid":"https://orcid.org/0000-0001-7473-7775","affiliations":[{"raw_affiliation_string":"Faculty of Economic Sciences and Management, Nicolaus Copernicus University in Torun, ul. Gagarina 13a, Torun 87-100, Poland","institution_ids":["https://openalex.org/I3019271933"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5088149349","display_name":"Rados\u0142aw Pietrzyk","orcid":"https://orcid.org/0000-0002-6583-8424"},"institutions":[{"id":"https://openalex.org/I305801656","display_name":"Wroclaw University of Economics and Business","ror":"https://ror.org/013sm1c65","country_code":"PL","type":"education","lineage":["https://openalex.org/I305801656"]}],"countries":["PL"],"is_corresponding":false,"raw_author_name":"Rados\u0142aw Pietrzyk","raw_affiliation_strings":["Faculty of Economics and Finance, Wroclaw University of Economics and Business, ul. Komandorska 118-120, Wroclaw 53-345, Poland"],"raw_orcid":"https://orcid.org/0000-0002-6583-8424","affiliations":[{"raw_affiliation_string":"Faculty of Economics and Finance, Wroclaw University of Economics and Business, ul. Komandorska 118-120, Wroclaw 53-345, Poland","institution_ids":["https://openalex.org/I305801656"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5038525019","display_name":"Grzegorz Dudek","orcid":"https://orcid.org/0000-0002-2285-0327"},"institutions":[{"id":"https://openalex.org/I130294970","display_name":"Cz\u0119stochowa University of Technology","ror":"https://ror.org/046awyn59","country_code":"PL","type":"education","lineage":["https://openalex.org/I130294970"]},{"id":"https://openalex.org/I169333911","display_name":"Gda\u0144sk University of Technology","ror":"https://ror.org/006x4sc24","country_code":"PL","type":"education","lineage":["https://openalex.org/I169333911"]},{"id":"https://openalex.org/I34250744","display_name":"University of \u0141\u00f3d\u017a","ror":"https://ror.org/05cq64r17","country_code":"PL","type":"education","lineage":["https://openalex.org/I34250744"]}],"countries":["PL"],"is_corresponding":true,"raw_author_name":"Grzegorz Dudek","raw_affiliation_strings":["CAMINO \u2013 Centre for Data Analysis, Modelling and Computational Sciences, University of \u0141\u00f3d\u017a, ul. Narutowicza 68, \u0141\u00f3d\u017a 90-136, Poland","Faculty of Electrical Engineering, Czestochowa University of Technology, Al. AK 17, Czestochowa 42-201, Poland","Faculty of Mathematics and Computer Science, University of \u0141\u00f3d\u017a, ul. Banacha 22, \u0141\u00f3d\u017a 90-238, Poland"],"raw_orcid":"https://orcid.org/0000-0002-2285-0327","affiliations":[{"raw_affiliation_string":"CAMINO \u2013 Centre for Data Analysis, Modelling and Computational Sciences, University of \u0141\u00f3d\u017a, ul. Narutowicza 68, \u0141\u00f3d\u017a 90-136, Poland","institution_ids":["https://openalex.org/I169333911"]},{"raw_affiliation_string":"Faculty of Electrical Engineering, Czestochowa University of Technology, Al. AK 17, Czestochowa 42-201, Poland","institution_ids":["https://openalex.org/I130294970"]},{"raw_affiliation_string":"Faculty of Mathematics and Computer Science, University of \u0141\u00f3d\u017a, ul. Banacha 22, \u0141\u00f3d\u017a 90-238, Poland","institution_ids":["https://openalex.org/I34250744"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":6,"corresponding_author_ids":["https://openalex.org/A5038525019"],"corresponding_institution_ids":["https://openalex.org/I130294970","https://openalex.org/I169333911","https://openalex.org/I34250744"],"apc_list":{"value":3350,"currency":"USD","value_usd":3350},"apc_paid":{"value":3350,"currency":"USD","value_usd":3350},"fwci":2.2123,"has_fulltext":false,"cited_by_count":2,"citation_normalized_percentile":{"value":0.89988967,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":97,"max":98},"biblio":{"volume":"188","issue":null,"first_page":"114384","last_page":"114384"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.2809999883174896,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.2809999883174896,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10270","display_name":"Blockchain Technology Applications and Security","score":0.2630999982357025,"subfield":{"id":"https://openalex.org/subfields/1710","display_name":"Information Systems"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12761","display_name":"Data Stream Mining Techniques","score":0.020600000396370888,"subfield":{"id":"https://openalex.org/subfields/1702","display_name":"Artificial Intelligence"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/identification","display_name":"Identification (biology)","score":0.5770000219345093},{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.5479000210762024},{"id":"https://openalex.org/keywords/statistical-learning","display_name":"Statistical learning","score":0.421099990606308},{"id":"https://openalex.org/keywords/statistical-learning-theory","display_name":"Statistical learning theory","score":0.40290001034736633},{"id":"https://openalex.org/keywords/statistical-analysis","display_name":"Statistical analysis","score":0.3456000089645386},{"id":"https://openalex.org/keywords/support-vector-machine","display_name":"Support vector machine","score":0.29260000586509705}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.7300999760627747},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.6758999824523926},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.6581000089645386},{"id":"https://openalex.org/C116834253","wikidata":"https://www.wikidata.org/wiki/Q2039217","display_name":"Identification (biology)","level":2,"score":0.5770000219345093},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.5479000210762024},{"id":"https://openalex.org/C2982736386","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Statistical learning","level":2,"score":0.421099990606308},{"id":"https://openalex.org/C2779915298","wikidata":"https://www.wikidata.org/wiki/Q7604400","display_name":"Statistical learning theory","level":3,"score":0.40290001034736633},{"id":"https://openalex.org/C2986587452","wikidata":"https://www.wikidata.org/wiki/Q938438","display_name":"Statistical analysis","level":2,"score":0.3456000089645386},{"id":"https://openalex.org/C124101348","wikidata":"https://www.wikidata.org/wiki/Q172491","display_name":"Data mining","level":1,"score":0.3131999969482422},{"id":"https://openalex.org/C12267149","wikidata":"https://www.wikidata.org/wiki/Q282453","display_name":"Support vector machine","level":2,"score":0.29260000586509705},{"id":"https://openalex.org/C114289077","wikidata":"https://www.wikidata.org/wiki/Q3284399","display_name":"Statistical model","level":2,"score":0.27720001339912415},{"id":"https://openalex.org/C50292564","wikidata":"https://www.wikidata.org/wiki/Q2462783","display_name":"Computational learning theory","level":3,"score":0.2680000066757202},{"id":"https://openalex.org/C115903097","wikidata":"https://www.wikidata.org/wiki/Q7094097","display_name":"Online machine learning","level":3,"score":0.25940001010894775}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.asoc.2025.114384","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.asoc.2025.114384","pdf_url":null,"source":{"id":"https://openalex.org/S140556538","display_name":"Applied Soft Computing","issn_l":"1568-4946","issn":["1568-4946","1872-9681"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Soft Computing","raw_type":"journal-article"},{"id":"pmh:doi:10.18150/sjhahr","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4406922384","display_name":"Open MIND","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Dataset"}],"best_oa_location":{"id":"doi:10.1016/j.asoc.2025.114384","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.asoc.2025.114384","pdf_url":null,"source":{"id":"https://openalex.org/S140556538","display_name":"Applied Soft Computing","issn_l":"1568-4946","issn":["1568-4946","1872-9681"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Soft Computing","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3803236598","display_name":null,"funder_award_id":"IP 100040","funder_id":"https://openalex.org/F4320324253","funder_display_name":"Vysok\u00e1 \u0160kola Ekonomick\u00e1 v Praze"},{"id":"https://openalex.org/G4040677673","display_name":null,"funder_award_id":"2021/43/B/HS4/00353","funder_id":"https://openalex.org/F4320322511","funder_display_name":"Narodowe Centrum Nauki"},{"id":"https://openalex.org/G4356517948","display_name":null,"funder_award_id":"2019/35/B/HS4/00642","funder_id":"https://openalex.org/F4320322511","funder_display_name":"Narodowe Centrum Nauki"}],"funders":[{"id":"https://openalex.org/F4320322511","display_name":"Narodowe Centrum Nauki","ror":"https://ror.org/03ha2q922"},{"id":"https://openalex.org/F4320324253","display_name":"Vysok\u00e1 \u0160kola Ekonomick\u00e1 v Praze","ror":"https://ror.org/029ecwj92"}],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":109,"referenced_works":["https://openalex.org/W429766147","https://openalex.org/W601070381","https://openalex.org/W1626308529","https://openalex.org/W1800261609","https://openalex.org/W1970694313","https://openalex.org/W1999974018","https://openalex.org/W2050902901","https://openalex.org/W2060469465","https://openalex.org/W2125536334","https://openalex.org/W2135046866","https://openalex.org/W2145501956","https://openalex.org/W2176683074","https://openalex.org/W2601386739","https://openalex.org/W2613948579","https://openalex.org/W2760878790","https://openalex.org/W2787894218","https://openalex.org/W2794141870","https://openalex.org/W2800896112","https://openalex.org/W2802435027","https://openalex.org/W2888860656","https://openalex.org/W2890821055","https://openalex.org/W2892922781","https://openalex.org/W2893030565","https://openalex.org/W2898449608","https://openalex.org/W2899685556","https://openalex.org/W2900850787","https://openalex.org/W2905520986","https://openalex.org/W2911964244","https://openalex.org/W2945425436","https://openalex.org/W2972379780","https://openalex.org/W2985816870","https://openalex.org/W2998669639","https://openalex.org/W2999603288","https://openalex.org/W3004033452","https://openalex.org/W3007066689","https://openalex.org/W3022746105","https://openalex.org/W3039383775","https://openalex.org/W3043661073","https://openalex.org/W3081158610","https://openalex.org/W3083098877","https://openalex.org/W3083911042","https://openalex.org/W3107337466","https://openalex.org/W3111842604","https://openalex.org/W3124713618","https://openalex.org/W3128366265","https://openalex.org/W3128952341","https://openalex.org/W3132304208","https://openalex.org/W3154423569","https://openalex.org/W3161895798","https://openalex.org/W3167202373","https://openalex.org/W3173926795","https://openalex.org/W3174963520","https://openalex.org/W3182087317","https://openalex.org/W3183584991","https://openalex.org/W3185009217","https://openalex.org/W3201454100","https://openalex.org/W3204276870","https://openalex.org/W3209875035","https://openalex.org/W3214327171","https://openalex.org/W4206675680","https://openalex.org/W4210806379","https://openalex.org/W4212771973","https://openalex.org/W4213121311","https://openalex.org/W4214667034","https://openalex.org/W4221107187","https://openalex.org/W4225165289","https://openalex.org/W4234698323","https://openalex.org/W4291281631","https://openalex.org/W4293531177","https://openalex.org/W4296904239","https://openalex.org/W4298127196","https://openalex.org/W4300817773","https://openalex.org/W4304687879","https://openalex.org/W4308713512","https://openalex.org/W4309504051","https://openalex.org/W4309667334","https://openalex.org/W4316810630","https://openalex.org/W4318590513","https://openalex.org/W4319160636","https://openalex.org/W4319789010","https://openalex.org/W4323050482","https://openalex.org/W4367726038","https://openalex.org/W4377141467","https://openalex.org/W4386701601","https://openalex.org/W4386750553","https://openalex.org/W4387572530","https://openalex.org/W4388002778","https://openalex.org/W4389098537","https://openalex.org/W4389410587","https://openalex.org/W4390235077","https://openalex.org/W4390617123","https://openalex.org/W4391731203","https://openalex.org/W4392182965","https://openalex.org/W4392640652","https://openalex.org/W4392877830","https://openalex.org/W4393167100","https://openalex.org/W4393207623","https://openalex.org/W4395085520","https://openalex.org/W4395477908","https://openalex.org/W4396601591","https://openalex.org/W4399915250","https://openalex.org/W4403648164","https://openalex.org/W4405350354","https://openalex.org/W4407880767","https://openalex.org/W4408016511","https://openalex.org/W4408787756","https://openalex.org/W4409472663","https://openalex.org/W4410433835","https://openalex.org/W4410551751"],"related_works":[],"abstract_inverted_index":{"This":[0],"study":[1,99],"advances":[2],"the":[3,102,127,139,146,154,170],"understanding":[4],"of":[5,14,104,134,141,148],"Bitcoin":[6,72,81,86,108,135],"volatility":[7,87,109,136],"forecasting":[8,150],"by":[9,129],"analysing":[10],"an":[11],"extensive":[12],"set":[13],"62":[15],"explanatory":[16],"variables,":[17],"including":[18],"cryptocurrency":[19,172],"market":[20,121],"behaviour,":[21],"Google":[22,95],"search":[23,96],"trends,":[24],"financial":[25],"indices,":[26],"and":[27,39,43,52,60,70,94,120,144,167],"economic":[28,118],"indicators.":[29],"We":[30],"employ":[31],"Bayesian":[32],"Model":[33],"Averaging":[34],"(BMA),":[35],"Least":[36],"Absolute":[37],"Shrinkage":[38],"Selection":[40],"Operator":[41],"(LASSO),":[42],"Random":[44],"Forest":[45],"(RF)":[46],"methods":[47,151],"to":[48,76,126],"assess":[49],"variable":[50,142],"importance":[51],"forecast":[53],"accuracy.":[54],"Our":[55,123],"research":[56],"demonstrates":[57],"that":[58,101],"LASSO":[59],"RF":[61],"models":[62,77],"incorporating":[63],"exogenous":[64],"variables":[65,106],"significantly":[66],"improve":[67],"both":[68],"daily":[69],"weekly":[71],"variance":[73],"forecasts":[74],"compared":[75],"using":[78],"only":[79],"lagged":[80,89],"volatilities.":[82],"Key":[83],"factors":[84],"influencing":[85],"include":[88],"realised":[90],"variances,":[91],"trading":[92],"volume,":[93],"intensity.":[97],"The":[98],"reveals":[100],"impact":[103],"these":[105],"on":[107],"is":[110],"time-varying,":[111],"reflecting":[112],"its":[113],"evolving":[114],"relationship":[115],"with":[116],"broader":[117],"indicators":[119],"sentiment.":[122],"findings":[124],"contribute":[125],"literature":[128],"providing":[130],"a":[131],"comprehensive":[132],"analysis":[133],"drivers,":[137],"evaluating":[138],"effectiveness":[140],"transformations,":[143],"comparing":[145],"performance":[147],"advanced":[149],"in":[152],"handling":[153],"cryptocurrency's":[155],"extreme":[156],"volatility.":[157],"These":[158],"insights":[159],"are":[160],"valuable":[161],"for":[162],"researchers,":[163],"investors,":[164],"portfolio":[165],"managers,":[166],"policymakers":[168],"navigating":[169],"dynamic":[171],"market.":[173]},"counts_by_year":[{"year":2026,"cited_by_count":2}],"updated_date":"2026-08-01T09:00:35.917206","created_date":"2025-12-14T00:00:00"}