Thesis (Selection of subject)Thesis (Selection of subject)(version: 336)
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The Profitability of Standard Trading Strategies in Cryptocurrency Markets
Thesis title in Czech: Ziskovost standardních obchodních strategií na kryptoměnových trzích
Thesis title in English: The Profitability of Standard Trading Strategies in Cryptocurrency Markets
Key words: Cryptocurrency, Trading, Bitcoin, Ethereum, Binance Coin, Basic Attention Token, ARIMA, VAR, MA Crossover, Granger Causality
English key words: Kryptoměny, Obchodování, Bitcoin, Ethereum, Binance Coin, Basic Attention Token, ARIMA, VAR, Klouzavý průměr, Grangerova kauzalita
Academic year of topic announcement: 2017/2018
Type of assignment: Bachelor's thesis
Thesis language: angličtina
Department: Institute of Economic Studies (23-IES)
Supervisor: prof. PhDr. Ladislav Krištoufek, Ph.D.
Author: hidden - assigned by the advisor
Date of registration: 28.03.2018
Date of assignment: 28.03.2018
Date and time of defence: 11.06.2019 09:00
Venue of defence: Opletalova - Opletalova 26, O314, Opletalova - místn. č. 314
Date of electronic submission:10.05.2019
Date of proceeded defence: 11.06.2019
Reviewers: Mgr. Václav Brož, Ph.D.
 
 
 
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References
(1) Pärlstrand, E., & Rydén, O. (2015). Explaining the market price of Bitcoin and other Cryptocurrencies with Statistical Analysis

(2) Cocco, L., Concas, G. & Marchesi, M. (2017). Using an artificial financial market for studying a cryptocurrency market

(3) Georgoula, Ifigeneia and Pournarakis, Demitrios and Bilanakos, Christos and Sotiropoulos, Dionisios and Giaglis, George M., Using Time-Series and Sentiment Analysis to Detect the Determinants of Bitcoin Prices (May 17, 2015)

(4) Garcia, David & Schweitzer, Frank. (2015). Social signals and algorithmic trading of Bitcoin. Royal Society Open Science.

(5) Donier J, Bouchaud J-P (2015) Why Do Markets Crash? Bitcoin Data Offers Unprecedented Insights.

(6) Kristoufek L (2015) What Are the Main Drivers of the Bitcoin Price? Evidence from Wavelet Coherence Analysis.

(7) Cermak, Vavrinec, Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model (May 2, 2017).
Preliminary scope of work in English
Research question and motivation
The main question is whether the trading strategies used in stock markets and forex markets can be applied to cryptocurrency trading with consistent success, and whether this approach leads to better results than simply holding a specific currency without trading.
With cryptocurrencies being highly influenced by psychological factors, the reliability of strategies and models which work in other markets is questionable at best. The analysis may thus also help answer the question whether cryptocurrency trading as a whole can be profitable, or if it is only another layer of gambling in an already highly volatile market.
Provided cryptocurrencies continue gaining in importance, answering this question may also provide insight into the workings of emerging markets, and may be used for comparison to these markets later when and if they stabilize, possibly allowing applications in volatile and “irrational” markets in general.

Contribution
As cryptocurrency research is still relatively scarce with trading research mostly limited to trading based on public interest (ex. (3), (4), (6) in the academic literature section) confirming that sentiment-based trading can be effective, and explaining the currencies‘ volatility (ex. (5), (7)), both the empirical analysis of price data and the results may provide a foundation for further research, and offer insight into the relation between conventional markets and cryptocurrency markets.
It can also be used to gain a rough estimate of the usability of some price and volume based strategies in cryptocurrency markets, which both researchers and traders may find helpful.

Methodology
Data on cryptocurrency prices and volume will be gathered from CoinMarketCap.com or comparable sites. Trading strategies will then be simulated on a chosen period or periods of time. The end result of applying these strategies will be compared to the profitability of simply holding the chosen currencies in the same period. Results will be evaluated with an ultimate goal of discerning which strategies and models can be successfully used.

Outline
After an introduction, the dataset will be presented. The dataset will then be analyzed. The thesis will conclude with comments on the analysis results.
1) Introduction, Expected results
2) Dataset, Analysis
3) Comments, Conclusion
 
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