Thesis title: |
Bitcoin High-Frequency Microstructure Dynamics and Returns Predictability |
Author: |
Chepelau, Andrej |
Thesis type: |
Diploma thesis |
Supervisor: |
Fičura, Milan |
Opponents: |
- |
Thesis language: |
English |
Abstract: |
This thesis explores topic of Bitcoin’s high-frequency microstructure and predictability of its price. While this topic has been studied extensively in traditional finance and capital markets such as stocks, commodities and currencies, the same can’t be said about cryptocurrencies, as it is a relatively new asset. This leads to a need to be able to determine differences between microstructure and price process between traditional and new markets. This work achieves that by reproducing parts of work by Ait-Sahalia et al. (2022), which concerns itself with stock data, and then examining the differences in results and price predictability while providing some guidance on lower bound of what can be predicted when it comes to Bitcoin’s high-frequency microstructure. The aim of the study is to inspect and describe dissimilari- ties between aspects of stock and Bitcoin microstructure and also to describe the interactions of Bitcoin microstructure variables and it’s price. |
Keywords: |
bitcoin; microstructure; price predictability; high-frequency data |
Thesis title: |
Vysokofrekvenční mikrostrukturní dynamika Bitcoinu a předvídatelnost výnosů |
Author: |
Chepelau, Andrej |
Thesis type: |
Diplomová práce |
Supervisor: |
Fičura, Milan |
Opponents: |
- |
Thesis language: |
English |
Abstract: |
Tato práce se zabývá tématem vysokofrekvenčnı́ mikrostruktury Bitcoinu a předvı́datelnosti jeho ceny. Toto téma bylo studováno na tradičnı́ch fi- nančnı́ch a kapitálových trzı́ch, jako jsou akcie, komodity a měny, to samé ale bohužel nelze řı́ci o kryptoměnách, protože se jedná o relativně nové aktivum. Z toho vyplı́vá nutnost pozorovat rozdı́ly mezi mikrostrukturou a cenovým procesem tradičnı́ch a nových trhů. Tato práce toho dosahuje reprodukovánı́m částı́ práce od Ait-Sahalia et al. (2022), která se zabývá ak- ciemi, a poté zkoumánı́m rozdı́lů ve výsledcı́ch a předvı́datelnosti cen. Cı́lem studie je prozkoumat a popsat odlišnosti mezi aspekty mikrostruktury akciı́ a bitcoinu a také popsat interakce mezi mikrostrukturálnı́mi proměnnými bitcoinu a jeho ceny. |
Keywords: |
bitcoin; mikrostruktura; vysokofrekvenční data; předvídatelnost ceny |
Information about study
Study programme: |
Finanční inženýrství |
Type of study programme: |
Magisterský studijní program |
Assigned degree: |
Ing. |
Institutions assigning academic degree: |
Vysoká škola ekonomická v Praze |
Faculty: |
Faculty of Finance and Accounting |
Department: |
Department of Banking and Insurance |
Information on submission and defense
Date of assignment: |
15. 12. 2023 |
Date of submission: |
13. 8. 2024 |
Date of defense: |
2024 |
Files for download
The files will be available after the defense of the thesis.