  A model is proposed for Bitcoin prices that takes into account market
attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross
processes, affects the volatility of Bitcoin returns, with some delay. The
model is affine and tractable, with closed formulae for the conditional
characteristic functions with respect to both the conventional and a delayed
filtration. This leads to semi-closed formulae for European call and put
prices. A maximum likelihood estimation procedure is provided, as well as a
method for changing to a risk-neutral measure. The model compares very well
against classical and attention-based models when tested on real data.
