Title

Bitcoin: A Study in Price Development and Volatility

Presenter Information

Alexandra Emily

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

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Apr 17th, 9:00 AM Apr 17th, 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.