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This master thesis studies the dynamics of cryptocurrencies and technological stocks in the recent years. The aim was to understand if these assets could be modelled using a recently developed model called the Mixed Causal-Noncausal model and if their bubbly behavior could be explained through the use of this model. Cryptocurrencies and technological stocks are not the most understood assets on the market and this works provides newer insights on their features and patterns. We also try to investigate if some common macroeconomic factors, market indices and other assets could have an impact on our assets. Our first contribution is to asses if particular assets such as cryptocurrencies or technological stocks behavior could be explained and confirmed by the model we use. Our second contribution is to provide forecasts based on the models we obtain and to assess the performance of such forecasts. This analysis results in new insights on the cryptocurrencies and technological stocks. Firstly, we identify a strong relationship between all the cryptocurrencies under the scope of this thesis and gold returns. We also identify a significant relationship between S&P 500 and our cryptocurrencies suggesting that they could behave either as safe-haven when the traditional markets are volatile and as speculative instruments when they are calm. The results obtained for the technological stocks are less homogenous but we can assume that most of them do have explosive roots and behave as bubbles according to our modelling procedure. We also identify significant relationships between Gross Domestic Product and Crude Oil and US Treasury Bond returns for most of these assets. Finally, the forecasting performances of our models is somehow mitigated. We are able to identify trends for some of our assets and not for others. However, we can conclude that the mixed models had good performance in identifying the trend, especially in a short-term horizon. We believe that Mixed Causal-Noncausal models could be used in order to put in place financial strategies when encountering bubbles. Putting in place momentum strategies or use it to hedge a portfolio is something that can be considered based on the results obtained.
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This paper employs high frequency transactions data on the world's oldest and most extensive centralized peer-to-peer Bitcoin market, which enables trade in the currencies of more than 135 countries. It presents an algorithm that allows, with high probability, the detection of "crypto vehicle transactions" in which crypto currency is used to move capital across borders or facilitate domestic transactions. In contrast to previous work which has used "on-chain" data, this paper's approach enables one to investigate parts of the vastly larger pool of "off-chain" transactions. Finding that, as a conservative lower bound, over 7 percent of the 45 million trades on the exchange we explore represent crypto vehicle transactions in which Bitcoin is used to make payments in fiat currency. Roughly 20 percent of these represent international capital flight/flows/remittances. Although this work cannot be used to put a price on cryptocurrencies, it provides the first systematic quantitative evidence that the transactional use of cryptocurrencies constitutes a fundamental component of their value, at least under the current regulatory regime.
Bitcoin --- Cryptocurrency --- Finance and Development --- Finance and Financial Sector Development --- Financial Regulation and Supervision --- Financial Transactions --- International Capital Flows --- International Economics and Trade --- International Financial Markets --- Speculative Bubbles --- Trade Facilitation --- Trade Finance and Investment
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Alternative assets such as fine art, wine, or diamonds have become popular investment vehicles in the aftermath of the global financial crisis. Correlation with classical financial markets is typically low, such that diversification benefits arise for portfolio allocation and risk management. Cryptocurrencies share many alternative asset features, but are hampered by high volatility, sluggish commercial acceptance, and regulatory uncertainties. This collection of papers addresses alternative assets and cryptocurrencies from economic, financial, statistical, and technical points of view. It gives an overview of their current state and explores their properties and prospects using innovative approaches and methodologies.
inflation propensity --- realized volatility --- portfolio modelling --- diamond stocks --- systemic risk --- cryptocurrencies --- initial coin offering --- smooth transition --- investment asset --- GARCH --- risk management --- transaction costs --- liquidity costs --- time series --- Baltic dry index --- statistical arbitrage --- volume --- cryptocurrency --- Hashrate --- blockchain --- diamond prices --- pro-cyclical volatility --- capital asset pricing model --- Bitcoin volatility --- trend prediction --- collatz conjecture --- high-frequency finance --- sentiment --- geometric distribution --- speculative bubbles --- gold --- classification framework --- limit order book --- venture capital --- proof-of-work --- high frequency --- Bitcoin --- machine learning --- metric learning --- stylized fact --- digital currency --- crowdfunding --- HAR --- GARCH-MIDAS --- bitcoin --- Finance. --- Funding --- Funds --- Economics --- Currency question
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