{'fraction_non_alphanumeric': 0.01637107776261937, 'fraction_numerical': 0.0, 'mean_word_length': 5.3826086956521735, 'pattern_counts': {'":': 0, '<': 0, '<?xml version=': 0, '>': 0, 'https://': 0, 'lorem ipsum': 0, 'www.': 0, 'xml': 0}, 'pii_count': 0, 'substrings_counts': 0, 'word_list_counts': {'cursed_substrings.json': 0, 'profanity_word_list.json': 0, 'sexual_word_list.json': 0, 'zh_pornsignals.json': 0}}
News-Driven Peer Co-Movement in Crypto Markets

We show that peer linkages induce significant price co-movement in crypto markets in excess of common risk factors and correlated demand shocks. When large abnormal return shocks hit one crypto, its peers experience unusually large abnormal returns of the opposite sign. These effects are primarily concentrated among smaller peers and revert after several weeks, resulting in predictable returns. We develop trading strategies that exploit this reversal, and show that they are profitable even after accounting for trading fees and frictions. We establish our results by identifying crypto peers through co-mentions in online news using novel natural language processing technologies.