Bitcoin: A Study in Price Development and Volatility
Department
Economics
Major
Applied Mathematics and Economics
Research Advisor
Ichim, Ana M.
Advisor's Department
Economics
Abstract
Since its creation the economics of Bitcoin’s price development and volatility has been a topic of great interest for economist, investors, and cryptocurrency enthusiast alike. This article investigates the potential contributors for Bitcoin’s rapid price formation in recent years by analyzing the correlation between popular cryptocurrency news releases with major price fluctuations in addition to comparing Bitcoin’s volatility and daily returns to that of well-established currencies and currencies commonly recognized as highly volatile. Using daily data for 2 years (2016-2017), we found that many of Bitcoin’s most dramatic price spikes and plummets correspond with news releases in seven main news categories. Furthermore, using an exponentially weighted moving average model we developed a method of comparing Bitcoin’s volatility and daily returns’ behavior to that of other currencies. Our findings support that Bitcoin’s behavior is not currently similar to the other currencies which we used for comparison in our analysis.
Biography
Alexandra Emily, a senior in Applied Mathematics and Economics, performed her research on Bitcoin price and volatility in conjunction with the American Institute for Economic Research and Professor Ana Ichim over the course of the last academic year.
Research Category
Social Sciences
Presentation Type
Poster Presentation
Document Type
Poster
Award
Social science poster session, First place
Location
Upper Atrium
Presentation Date
17 Apr 2018, 9:00 am - 12:00 pm
Bitcoin: A Study in Price Development and Volatility
Upper Atrium
Since its creation the economics of Bitcoin’s price development and volatility has been a topic of great interest for economist, investors, and cryptocurrency enthusiast alike. This article investigates the potential contributors for Bitcoin’s rapid price formation in recent years by analyzing the correlation between popular cryptocurrency news releases with major price fluctuations in addition to comparing Bitcoin’s volatility and daily returns to that of well-established currencies and currencies commonly recognized as highly volatile. Using daily data for 2 years (2016-2017), we found that many of Bitcoin’s most dramatic price spikes and plummets correspond with news releases in seven main news categories. Furthermore, using an exponentially weighted moving average model we developed a method of comparing Bitcoin’s volatility and daily returns’ behavior to that of other currencies. Our findings support that Bitcoin’s behavior is not currently similar to the other currencies which we used for comparison in our analysis.
