Preprint
Sep 2026
Fear Moves Markets: Sentiment-Augmented POMP for Volatility Modeling of Bitcoin Returns
A partially observed Markov processes (POMP) model augmented with sentiment and heavy-tailed distributions is developed, extending Breto's framework by including the Fear and Greed Index as an exogenous regressor in the latent volatility dynamics and replacing Gaussian measurement noise with a Student's t distribution.
Abeyankar Giridharan, Chang Li, Suvrorup Mukherjee et al.
· 0 citations