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BITCOIN PRICE FORECASTING UNDER THE INFLUENCES OF NETWORK METRICS AND OTHER FINANCIAL ASSETS
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Date
2022-12-02
Author
Daş, İsmail
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In 2008, the whitepaper titled "Bitcoin: A Peer-to-Peer Electronic Cash System" introduced an original design of a decentralized digital currency. The innovations, described by the pseudonym Satoshi Nakamoto, have led to the evolution of cryptocurrencies and have attracted significant attention from the media and investors. The price of bitcoin has captured the interest, and the dynamics of bitcoin have become a popular topic in academia. This the- sis examines the dynamics of bitcoin prices with several network metrics and financial assets. Three periods chosen by Prophet’s change point detection are studied to capture the relationships in different characteristics. Cointegration relationships are analyzed, and according to the results, VAR and VEC models are estimated for granger causality. The cointegration relationship between BTC and hashrate revealed a unidirectional granger-causality from BTC price to hashrate. Additionally, BTC price granger-causes volume in two periods. Finally, ARIMA models are used to forecast Bitcoin and other variables in seven different periods. The results are compared and evaluated by several accuracy measures.
Subject Keywords
ARIMA
,
Bitcoin
,
VAR
,
Cointegration
URI
https://hdl.handle.net/11511/101299
Collections
Graduate School of Applied Mathematics, Thesis
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İ. Daş, “BITCOIN PRICE FORECASTING UNDER THE INFLUENCES OF NETWORK METRICS AND OTHER FINANCIAL ASSETS,” M.S. - Master of Science, Middle East Technical University, 2022.
