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" Prevalence of diabetes mellitus, impaired glucose tolerance and coronary heart disease in adult Bahraini natives and their risk factors : "
Almahroos, Faisal Jaffar
Mckeigue, P. M.
| Document Type
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Latin Dissertation
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| Language of Document
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English
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| Record Number
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1105312
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| Doc. No
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TLpq2306302758
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| Main Entry
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Das, Kumer
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Islam, Mohammad Tariquel
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| Title & Author
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Predicting Bitcoin Return Using Extreme Value Theory\ Islam, Mohammad TariquelDas, Kumer
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| College
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Lamar University - Beaumont
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| Date
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2019
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| student score
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2019
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| Degree
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M.S.
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| Page No
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47
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| Abstract
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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.
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| Subject
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Economics
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Finance
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Mathematics
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