عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
TL51312
انگلیسی
Predicting Bitcoin Return Using Extreme Value Theory
[Thesis]
Islam, Mohammad Tariquel
Das, Kumer
Lamar University - Beaumont
2019
47 p.
M.S.
Lamar University - Beaumont
2019
Bitcoin is the largest among all cryptocurrencies in existence. It was introduced in 2008, and in a short time, Bitcoin price reached USD 19,345.49 in Dec 2017. Investors are also considering Bitcoin as an alternative to their current investments. Rather than looking into the price of Bitcoin, we looked into the historical return of Bitcoin and decided to study the future pattern. We found that the historical Bitcoin daily return data are not normally distributed, and the presence of many extreme outliers. Therefore, we examined the historic Bitcoin daily returns using Extreme Value Theory to predict the future return level and the probability of exceeding certain return levels. We have shown the predicted return levels for 20-year, 50-year, and 100-year with a 95% confidence interval using both the block maxima approach and threshold excess approach.
Economics
Finance
Mathematics
Islam, Mohammad Tariquel
Das, Kumer
Lamar University - Beaumont
مطالعه متن کتاب p
[Thesis]
276903
a
Y
