Analiza Korelacji Notowań Bitcoina

Authors

  • Jacek Obrzud Wydział Zarządzania Akademia Górniczo-Hutnicza im.St.Staszica
  • Vasyl Fedoriv Wydział Zarządzania Akademia Górniczo-Hutnicza im.St.Staszica

Keywords:

cryptocurrency, bitcoin, rolling cross-correlation of financial time series

Abstract

The article studied changes of the rates of selected indexes of world stock exchanges and currencies exchange rates, Bitcoin, Special Drawing Rights and USD Value from 1.01.1998 to 30.03.2018. Autocorrelation and cross-correlation functions have been calculated for daily increments (up to 6 days) and monthly (up to 12 months). It was found that the statistical parameters of the series increments were considered as acceptable. There has been no significant correlation of the delayed price increments, which may be the result of a widespread lack of acceptance of Bitcoin. Słowa kluczowe—kryptowaluty, bitcoin, analizy zmienności korelacji finansowych szeregów czasowych

Published

2018-05-19

Issue

Section

Section 1 Information technologies in technical and special purpose systems, information technologies in society, education, medicine, economics, management, ecology and law