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Séminaire de cryptofinance : le prix du bitcoin et les comportements du marché

Organisé par Cyril Grunspan (ESILV, De Vinci Research Center) et Ricardo Pérez-Marco (CNRS, IMJ-PRG), le prochain Séminaire de Cryptofinance, proposera un modèle d’analyse du prix du bitcoin et des comportements du marché.

Où ? – Université Paris Diderot, bâtiment Sophie Germain – Amphi Alan Turing – 8 place Aurélie Nemours à Paris.

Quand ? – Jeudi 22 novembre 2018 de 18h00 à 19h00.

Avec Marco Patacca (ESILV, De Vinci Research Center)

« In this work we measure market attention by applying several filters on time series for the trading volume or the SVI Google searches index. We analyze relative impact of these measures either on the mean or on the variance of Bitcoin returns by fitting non linear econometric models to historical data from January 1, 2012 to December 31, 2017; two non-overlapping subsamples are also considered. Outcomes confirm our conjecture that market attention has an impact on Bitcoin returns. Specifically, trading volume related measures affect both the mean and the conditional variance of Bitcoin returns while internet searches volume mainly affects the conditional variance of returns. Motivated by these evidences we propose a continuous time model for Bitcoin price, we obtain an approximate formula for the likelihood and we fit the model to historical data. »


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