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Browsing by Subject "Bitcoin"

Browsing by Subject "Bitcoin"

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  • Bitcoin estimation and prediction through neural network and machine learning 
    Hanna, Marianne G. (Notre Dame University-Louaize, 2021)
    Bitcoin is the most popular purely digital cryptocurrency nowadays. It started in 2009 as a peer to peer payment system, decentralized, pseudo-anonymous and secure system of money. The main objective of this study is to estimate and predict the weekly close bitcoin price by including other variables like commodities, indexes and demand / supply variables through different kind of machine learning and deep learning such as multiple regression, time series ARIMA model, artificial neural network, combination of multiple regression and ARIMA model, and finally combination of multiple regression, ...
  • Examining the volatility spillover in leading cryptocurrencies and investigating the hedge/safe haven properties of Ethereum 
    Baz, Roland (Notre Dame University-Louaize, 2020-12)
    Purpose: This paper investigates the interconnectedness of the five largest cryptocurrencies in terms of market capitalization namely, Bitcoin, Ethereum, Ripple, Bitcoin Cash and Litecoin through a volatility spillover inspection. It also studies the hedging and/or safe haven capabilities of Ethereum, the second largest cryptocurrency in terms of market capitalization, against the main conventional currencies and the traditional assets in the United States and the European markets. Design/methodology/approach: In the first part of the research, univariate general autoregressive conditional ...
  • Modeling the volatility and value at risk of cryptocurrencies and fiat currencies using GARCH models 
    Haddad, Omar (Notre Dame University-Louaize, 2020-05)
    Purpose: The purpose of this thesis is to investigate and assess the predictive ability of the GARCH (1,1), IGARCH (1,1), EGARCH (1,1), GJR-GARCH (1,1), APARCH (1,1), TGARCH (1,1) and CGARCH (1,1) models in forecasting the volatilities of six major cryptocurrencies: Bitcoin, Ripple, Litecoin, Monero, Dash, Dogecoin and six world currencies: Euro, British Pound, Canadian Dollar, Australian Dollar, Swiss Franc and the Japanese Yen. The optimal volatility model selected for each virtual and hard currency is then integrated into the Volatility Update Historical Simulation approach to evaluate the ...
  • A novel penalty system to limit profitability of selfish mining 
    Semaan, Georgio (Notre Dame University-Louaize, 2021-05)
    In recent times, a new technology – Blockchain was brought forward to the global society. The world is using the term ‘Blockchain technology’ to signify diverse things such as the Bitcoin Blockchain, virtual currencies like Cardano and XRP, and smart contracts. Blockchain-based applications are springing up, covering several fields comprising financial services, reputation system and Internet of Things (IoT), and so on. Generally, Blockchain is implicit to be distributed ledgers that is a list of transactions verified and stored into blocks and shared among a number of computer nodes in a ...
  • Volatility and value at risk : crypto versus Fiat currencies 
    El Chidiac, Johnny (Notre Dame University-Louaize, 2019)
    Purpose: The purpose of this thesis is to investigate the ability of EWMA, GARCH (1, 1), GARCH (p, q) and EGARCH (1, 1) to forecast volatilities of Bitcoin, Ripple, EURUSD, GBPUSD and CNYUSD. The optimal volatility model for each fiat and virtual currency is used to measure the accuracy of VaR by incorporating the volatility update into the Historical Simulation approach. Design/Methodology/Approach: In-sample returns are calculated from daily closing prices and are used in estimating the parameters of the selected models. The calculated in-sample parameters are applied to estimate and forecast ...