Unit:
Κατεύθυνση Οικονομικά, Διοικητικά και Πληροφοριακά Συστήματα ΕπιχειρήσεωνLibrary of the Faculty of Economics and of the Faculty of Business Administration
Supervisors info:
Κυριάκος Δρίβας , Επίκουρος Καθηγητής , Πανεπιστήμιο Πειραιά
Original Title:
Η αλληλεπίδραση των κρυπτονομισμάτων και η σχέση τους με ευρώ και χρυσό
Translated title:
The interaction between cryptocurrencies and the price of euro an gold
Summary:
The aim of this diploma is to create and calculate a model using the Vector Autoregression (VAR)
method, in order to examine the interaction between leading digital coin, Bitcoin, the rest of the
cryptocurrencies and the price of euro and gold. The sample consists of 1,157 daily prices of the
exchange value of the five most widely accepted cryptocurrencies, euro and gold. All data is calculated
in dollar values. The analysis is for the period 01/11/2014 to 31/12/2017. VAR is a prediction method
based on linear regression models with the difference being that VAR uses multiple time series. The
necessary hypothesis for applying the method is that one time series affects the other in a timeless way.
For the analysis, daily returns of the currencies were used because they were the only ones that matched
the stationarity tests. The results include the reactions of all cryptocurrencies in Bitcoin price shocks,
Bitcoin's reactions to price fluctuations of other currencies and the reaction of currencies to price
fluctuations of euro and gold. In conclusion, it appears to be an increased influence between the
cryptocurrencies and also influence from euro and gold price disturbances.
Main subject category:
Technology - Computer science
Keywords:
Influence, Bitcoin, altcoins
File:
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Πτυχιακή Κλαγκος-converted.pdf
1 MB
File access is restricted only to the intranet of UoA.
