عنوان
پدید آورنده
موضوع
رده
کتابخانه
محل استقرار
NATIONAL BIBLIOGRAPHY NUMBER
Number
TLpq2306302758
LANGUAGE OF THE ITEM
.Language of Text, Soundtrack etc
انگلیسی
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Predicting Bitcoin Return Using Extreme Value Theory
General Material Designation
[Thesis]
First Statement of Responsibility
Islam, Mohammad Tariquel
Subsequent Statement of Responsibility
Das, Kumer
.PUBLICATION, DISTRIBUTION, ETC
Name of Publisher, Distributor, etc.
Lamar University - Beaumont
Date of Publication, Distribution, etc.
2019
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
47
DISSERTATION (THESIS) NOTE
Dissertation or thesis details and type of degree
M.S.
Body granting the degree
Lamar University - Beaumont
Text preceding or following the note
2019
SUMMARY OR ABSTRACT
Text of Note
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.
TOPICAL NAME USED AS SUBJECT
Economics
Finance
Mathematics
PERSONAL NAME - PRIMARY RESPONSIBILITY
Das, Kumer
Islam, Mohammad Tariquel
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب p
[Thesis]
276903
a
Y
