Do crypto-currencies form a new asset class?

• Název práce v češtině: Do crypto-currencies form a new asset class?
• Název v anglickém jazyce: Do crypto-currencies form a new asset class?
• Klíčová slova: crypto-currency, Bitcoin, ripple, Litecoin, stylized fact, asset return, autocorrelation, leverage effect, volatility clustering
• Akademický rok vypsání: 2013/2014
• Typ práce: bakalářská práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: prof. PhDr. Ladislav Krištoufek, Ph.D.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 20.04.2014
• Datum zadání: 20.04.2014
• Datum a čas obhajoby: 09.09.2015 00:00
• Místo konání obhajoby: IES
• Datum odevzdání elektronické podoby: 30.07.2015
• Datum proběhlé obhajoby: 09.09.2015
• Oponenti: Mgr. Luboš Hanus, Ph.D.

Seznam odborné literatury

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10. Cont, R. Empirical properties of asset returns: stylized facts and statistical issues Quantitative Finance, 2001, 1, 223-236
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Předběžná náplň práce

In this work, I would like to analyse phenomena of last couple of years - crypto-currencies, also known as virtual currencies. To simplify the whole analysis a little bit, I will primarily focus on first broadly known and by far the biggest crypto-currency currently used called Bitcoin. Obviously, there are many others but it is unnecessary to study each of them separately as they operate similarly and their market capitalization is much lower, meaning that their significance in real economy is much lower as well. On the example of Bitcoin currency I will try to spot and describe differences between virtual currencies generally and other known asset classes. For that purpose, I will examine its properties from statistical point of view using econometric modelling of financial time series and I will use stylized facts of stocks, bonds and other common asset classes to compare them with price and return data properties of the Bitcoin currency. This research should provide us with an answer to the question, whether crypto-currencies are or are not a new asset class itself and how could the observed differences be possibly used in an investment portfolio.


Hypotheses:

1. Bitcoin and crypto-currencies respectively form a new asset class.
2. Bitcoin is closer to a stock than to a currency.
3. How do stylized facts of Bitcoin currency differ in terms of Cont, R. (2001) from stylized facts of other asset classes (stocks, currencies, bonds)?
4. Could the observed properties be used during investment portfolio creation?

Core Bibliography:

1. CONT, R. (2001) Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance. [Online] 1. p.223-236. Available from: http://www-stat.wharton.upenn.edu/~steele/Resources/FTSResources/StylizedFacts/Cont2001.pdf [Accessed: 30 May 2014]
2. BRIERE, M., OOSTERLINCK, K. & SZAFARZ, A. (2013) Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins. [Online] Available from: http://internet.jroepeumw.net/wp-content/uploads/2014/01/wp13031.pdf [Accessed: 30 May 2014]
3. DORIT, R. & SHAMIR, A. (2012) Quantitative Analysis of the Full Bitcoin Transaction Graph. [Online] Available from: http://eprint.iacr.org/2012/584.pdf [Accessed: 30 May 2014]
4. CAMPBELL, J. Y., LO, A. W. & MACKINLEY, A. C. (1997) The econometrics of financial markets. Princeton, N.J.: Princeton University Press
5. MILJKOVIĆ, V. & RADOVIĆ, O. (2006) Stylized facts of asset returns: Case of BELEX. Facta universitatis - series: Economics and Organization. [Online] 3 (2). p.189-201. Available from: http://facta.junis.ni.ac.rs/eao/eao200602/eao200602-09.pdf [Accessed: 30 May 2014]