Detail práce

Variance structure of the Bitcoin currency

Autor: Bc. Martin Pátek
Rok: 2015 - letní
Vedoucí: doc. PhDr. Ladislav Krištoufek Ph.D.
Typ práce: Bakalářská
Jazyk: Anglicky
Stránky: 94
Abstrakt: The purpose of this thesis is to explain how Bitcoin works, analyze the Bitcoin total variation and to
separate the jump component of realized variance from the continuous part. In order to do so, we use
estimates of quadratic variation and integrated variance. We detect jumps using a test which is based on
the difference between realized variance and bipower variation. The results for BTC/USD exchange rate
are then compared with the results for EUR/USD exchange rate, price of gold and for the S&P 500
index. In case of all datasets, we use data with five-minute frequency. It seems that no other work
analyzing the Bitcoin total variation using the same methods to separate the jump component from the
continuous part of a price process has been written so far. We found that jumps in the Bitcoin total
variation are stronger than for other analyzed instruments. The results also suggest that the duration
between jumps for Bitcoin considerably prolonged during the monitored period which may indicate that
the behavior of price of bitcoin has stabilized over time. We also found out that the variance of price of
bitcoin is higher during the monitored period in comparison with other analyzed instruments.


McKinsey & Company