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Price and Prejudice : = An Empirical Look at the Value Formation of Bitcoin.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Price and Prejudice :/
其他題名:	An Empirical Look at the Value Formation of Bitcoin.
作者:	Doster, David.
面頁冊數:	1 online resource (53 pages)
附註:	Source: Masters Abstracts International, Volume: 57-05.
標題:	Economics. -
電子資源:	click for full text (PQDT)
ISBN:	9780355915341

Price and Prejudice : = An Empirical Look at the Value Formation of Bitcoin.
Doster, David.

Price and Prejudice :An Empirical Look at the Value Formation of Bitcoin. - 1 online resource (53 pages)

Source: Masters Abstracts International, Volume: 57-05.

Thesis (M.S.)--The University of North Carolina at Charlotte, 2018.

Includes bibliographical references

Bitcoin price formation has been the topic of many studies due to the recent rise in popularity of cryptocurrencies around the globe. The problem not only lies with attempting to find how the value of this currency is established, but finding a framework that best describes how Bitcoin is created. In this paper, a modified version of Barro's framework is used, along with other prior frameworks, in an attempt to model pricing variation and formation for Bitcoin. To find causality, a simple VAR(p) model is used as a starting point, where the lag-order is selected based on BIC. This model includes various network statistics, Bitcoin popularity measures, commodity prices, and financial markets to identify potential pricing factors which could be argued to cause changes in Bitcoin price. A multivariate GARCH approach (MGARCH) is then used to fortify this model by not only modeling these causal relationships but modeling changes in volatility, eventually using Google trends to explain volatility changes in Bitcoin prices. According to these models, Bitcoin price formation follows an AR(1) process with ARCH/GARCH effects where these ARCH/GARCH effects can be explained by Bitcoin popularity. Due to the returns of Bitcoin relying on past information, a violation of the efficient market hypothesis may be present, meaning that arbitrage may exist in the Bitcoin market.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355915341Subjects--Topical Terms:

555568
Economics.
Index Terms--Genre/Form:

554714
Electronic books.

Price and Prejudice : = An Empirical Look at the Value Formation of Bitcoin.
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500 $a Source: Masters Abstracts International, Volume: 57-05.
500 $a Adviser: Craig A. Depken.
502 $a Thesis (M.S.)--The University of North Carolina at Charlotte, 2018.
504 $a Includes bibliographical references
520 $a Bitcoin price formation has been the topic of many studies due to the recent rise in popularity of cryptocurrencies around the globe. The problem not only lies with attempting to find how the value of this currency is established, but finding a framework that best describes how Bitcoin is created. In this paper, a modified version of Barro's framework is used, along with other prior frameworks, in an attempt to model pricing variation and formation for Bitcoin. To find causality, a simple VAR(p) model is used as a starting point, where the lag-order is selected based on BIC. This model includes various network statistics, Bitcoin popularity measures, commodity prices, and financial markets to identify potential pricing factors which could be argued to cause changes in Bitcoin price. A multivariate GARCH approach (MGARCH) is then used to fortify this model by not only modeling these causal relationships but modeling changes in volatility, eventually using Google trends to explain volatility changes in Bitcoin prices. According to these models, Bitcoin price formation follows an AR(1) process with ARCH/GARCH effects where these ARCH/GARCH effects can be explained by Bitcoin popularity. Due to the returns of Bitcoin relying on past information, a violation of the efficient market hypothesis may be present, meaning that arbitrage may exist in the Bitcoin market.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
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