Predicting Bitcoin Return Using Extreme Value Theory

منو

" Predicting Bitcoin Return Using Extreme Value Theory "
Islam, Mohammad Tariquel Das, Kumer

Document Type	:	Latin Dissertation
Language of Document	:	English
Record Number	:	1105312
Doc. No	:	TLpq2306302758
Main Entry	:	Das, Kumer
	:	Islam, Mohammad Tariquel
Title & Author	:	Predicting Bitcoin Return Using Extreme Value Theory\ Islam, Mohammad TariquelDas, Kumer
College	:	Lamar University - Beaumont
Date	:	2019
student score	:	2019
Degree	:	M.S.
Page No	:	47
Abstract	:	Bitcoin is the largest among all cryptocurrencies in existence. It was introduced in 2008, and in a short time, Bitcoin price reached USD 19,345.49 in Dec 2017. Investors are also considering Bitcoin as an alternative to their current investments. Rather than looking into the price of Bitcoin, we looked into the historical return of Bitcoin and decided to study the future pattern. We found that the historical Bitcoin daily return data are not normally distributed, and the presence of many extreme outliers. Therefore, we examined the historic Bitcoin daily returns using Extreme Value Theory to predict the future return level and the probability of exceeding certain return levels. We have shown the predicted return levels for 20-year, 50-year, and 100-year with a 95% confidence interval using both the block maxima approach and threshold excess approach.
Subject	:	Economics
	:	Finance
	:	Mathematics