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  • Thumbnail for EXPLORING BITCOIN AS AN ASSET CLASS
    EXPLORING BITCOIN AS AN ASSET CLASS by Gaspar, Martin

    Bitcoin, a digital currency created in 2009, has garnered significant attention over the last couple years for its outsized returns and its significant volatility. However, since it is such a relatively new and controversial asset, many investors remain tepid to invest in it for they do not know how to approach Bitcoin as an investment. I believe this is because investors are unfamiliar with Bitcoin’s unique characteristics and do not realize the extent that Bitcoin, and its markets, have matured since its inception. Consequently, I hypothesize that Bitcoin holds enough features to be considered a legitimate asset class. In this paper, I explore Bitcoin’s potential as an asset class through several established criteria for something to be considered an asset class. I examine how well Bitcoin’s characteristics fulfill those criteria by comparing it to other established asset classes and analyzing their correlations, volatility, and risk-adjusted returns, among other statistics. I find that Bitcoin fulfills most of the criteria for an asset class, but must further develop in some areas before it is appropriate for every kind of investor to invest in it.

  • Thumbnail for Forecasting exchange rate volatility with high-frequency Bitcoin data : is digital currency really that different?
    Forecasting exchange rate volatility with high-frequency Bitcoin data : is digital currency really that different? by Ruiz, Edward M.

    This study evaluates the importance of revaluating traditional forecasting volatility models for digital currencies. The use of GARCH models and their variations do not fully explain the behavior visible with Bitcoin as they have in the past with government- backed fiat currencies. The currencies used are geographically different from each other since recent literature has pointed to the importance of forecasting models for different exchanges. Furthermore, this study points to the importance of revaluating forecasting models to include a currency speculation effect that is more easily observed in Bitcoin’s behavior than government-backed fiat currencies.

  • Thumbnail for EXPLORING BITCOIN AS AN ASSET CLASS
    EXPLORING BITCOIN AS AN ASSET CLASS by Gaspar, Martin

    Bitcoin, a digital currency created in 2009, has garnered significant attention over the last couple years for its outsized returns and its significant volatility. However, since it is such a relatively new and controversial asset, many investors remain tepid to invest in it for they do not know how to approach Bitcoin as an investment. I believe this is because investors are unfamiliar with Bitcoin’s unique characteristics and do not realize the extent that Bitcoin, and its markets, have matured since its inception. Consequently, I hypothesize that Bitcoin holds enough features to be considered a legitimate asset class. In this paper, I explore Bitcoin’s potential as an asset class through several established criteria for something to be considered an asset class. I examine how well Bitcoin’s characteristics fulfill those criteria by comparing it to other established asset classes and analyzing their correlations, volatility, and risk-adjusted returns, among other statistics. I find that Bitcoin fulfills most of the criteria for an asset class, but must further develop in some areas before it is appropriate for every kind of investor to invest in it.

  • Thumbnail for EXPLORING BITCOIN AS AN ASSET CLASS
    EXPLORING BITCOIN AS AN ASSET CLASS by Gaspar, Martin

    Bitcoin, a digital currency created in 2009, has garnered significant attention over the last couple years for its outsized returns and its significant volatility. However, since it is such a relatively new and controversial asset, many investors remain tepid to invest in it for they do not know how to approach Bitcoin as an investment. I believe this is because investors are unfamiliar with Bitcoin’s unique characteristics and do not realize the extent that Bitcoin, and its markets, have matured since its inception. Consequently, I hypothesize that Bitcoin holds enough features to be considered a legitimate asset class. In this paper, I explore Bitcoin’s potential as an asset class through several established criteria for something to be considered an asset class. I examine how well Bitcoin’s characteristics fulfill those criteria by comparing it to other established asset classes and analyzing their correlations, volatility, and risk-adjusted returns, among other statistics. I find that Bitcoin fulfills most of the criteria for an asset class, but must further develop in some areas before it is appropriate for every kind of investor to invest in it.

  • Thumbnail for Forecasting Bitcoin Price Volatility with the Hybrid ARMA-GARCH Model
    Forecasting Bitcoin Price Volatility with the Hybrid ARMA-GARCH Model by Ye, John

    This paper uses Bitcoin hacking and Bitcoin miners’ distribution to gain a deeper understanding of the Bitcoin price volatility. This paper uses data directly from the Bitcoin blockchain, as well as data gathered from various Internet sources. A two-step ARMA-GARCH model is chosen to detrend and interpret the Bitcoin price volatility. With three variables, the model can accurately forecast 5 percent of the total volatility. From the result, Bitcoin hack, scam and theft events would make the Bitcoin price more volatile, and more concentrated Bitcoin miners in the network would decrease the Bitcoin price volatility. However, because of the small percent of forecasted values, most of the Bitcoin price volatilities remains a mystery.

  • Thumbnail for AN ANALYSIS ON BITCOIN VOLATILITY: EXAMINING THE DRIVERS BEHIND BITCOIN PRICE
    AN ANALYSIS ON BITCOIN VOLATILITY: EXAMINING THE DRIVERS BEHIND BITCOIN PRICE by Tran, Quang Vinh

    Bitcoin was introduced after 2008 financial crisis as a more secure form of currency, however its volatility within the past decade has shown that Bitcoin’s price fluctuation can be caused by multiple factors. This study aims to examine the drivers that caused Bitcoin’s price to fluctuate as well as predict how these drivers impact Bitcoin’s future. This study conducts an OLS regression model analysis to test for a correlation between Bitcoin’s historical price and historical prices of Ripple (XRP), Ethereum (ETH), the U.S. Dollar (USD), Gold (by the ounce), Google Trends data, as well as a regulation &policy timeline. What was concluded is that all these chosen variables, with the exception of Gold, proved to have a statistically significant correlation with Bitcoin price.Furthermore, both federal and state regulations also played a significant role in drivingBitcoin prices.