Analysis of bubble presence in cryptocurrency market

Informace o vysokoškolské kvalifikační práci

Název práce:
Analysis of bubble presence in cryptocurrency market
Autor práce:
Rebrova, Yulia
Typ práce:
Diplomová práce / info:eu-repo/semantics/masterThesis
Vedoucí práce:
Witzany, Jiří
Osoba oponující práci:
Budská, Petra
Jazyk práce:
English
Abstrakt:
This master thesis focuses on the analysis of the cryptocurrency market in 2016-2019 period and aims to confirm the presence of bubbles in this market. First, there are performed SADF and GSADF tests recommended as being able to detect the presence of financial bubbles as well as to indicate the starting and the end date using a date-stamping procedure. Based on the outcomes of the tests performed over the twelve major cryptocurrencies, according to their market capitalization, it can be concluded that there were bubbles present which burst around the break between 2017 and 2018 and there are bubbles started in 2019 for a few cryptocurrencies. Second, there is applied a framework called Log-Periodic Power Law model which is suggested as being able to capture the end of the bubble ex-post and ex-ante together with the price development. Consequently, the Log-Periodic Power Law model was able to capture the time of crash for different cryptocurrencies with high accuracy at the end of 2017 and beginning 2018. It can be stated that the cryptocurrency market had a price exuberance resulted in the bubble burst. For the bubbles started in 2019, the prediction with expanding rolling window was able to mimic the price evolution better compared to the single one prediction period. The critical times of crash were again determined quite precisely but the prediction horizon was short. Overall, the framework captures the speed of the price acceleration and the log-periodic oscillation which differ significantly from one cryptocurrency to the other. This means that the price evolution of cryptocurrencies has different patterns during the bubble period and the price behavior cannot be simply generalized. However, based on the results of calibration of the Log-Periodic Power Law model it is a promising framework the price evolution in the cryptocurrency market which is historically prone to high volatility.
Klíčová slova:
Cryptocurrency market; bubble; SADF test; GSADF test; critical point; LPPL model; log-periodic oscillation

Informace o studiu

Studijní program a Studijní obor:
Finance a účetnictví/Finanční inženýrství
Typ studijního programu:
Magisterský navazující studijní program
Jméno přidělované hodnosti:
Ing.
Instituce přidělující hodnost:
University of Economics, Prague
Název fakulty:
Faculty of Finance and Accounting
Název katedry:
Department of Banking and Insurance
Instituce archivující a zpřístupňující VŠKP:
University of Economics, Prague

Informace o odevzdání a obhajobě

Datum zadání práce:
13. 11. 2018
Datum podání práce:
27. 1. 2020
Datum obhajoby:
13.02.2020

Soubory ke stažení

Hlavní práce:
67722_xreby00.pdf [2,63 MB]
Veřejná příloha:
19789_xreby00.unknown [124,37 kB]
Oponentura:
62058_budp03.pdf [164,18 kB]
Hodnocení vedoucího:
67722_witzanyj.pdf [500,55 kB]

Údaje ze systému InSIS

Identifikátor:
https://insis.vse.cz/zp/67722/podrobnosti