什么能解释比特币的价格、波动性和交易量?

分类:币圈快讯浏览量:57发布于:2个月前

Finance Research Letters,

Volume 29, June 2019, Pages 255-265

作者:Halvor Aarhus Aalborg, Peter Molnár,

Jon Erikde Vries

摘要:本文研究哪些变量可以解释和预测比特币的回报率、波动率和交易量。考虑的变量包括回报率、波动率、流通量、交易量、比特币独有的地址数量的变化、波动率指数和谷歌搜索“比特币”的量。本文使用高频数据计算过往波动率,发现异质自回归模型适用于比特币波动率,交易量进一步改善了这种波动模型。比特币的交易量可以通过谷歌搜索“比特币”的量来预测。但是这些被考虑的变量都无法预测比特币的回报率。

What can explain the price, volatility and trading volume of Bitcoin?

Abstract: We study which variables can explain and predict the return, volatility and trading volume of Bitcoin. The considered variables are return, volatility, trading volume, transaction volume, change in the number of unique Bitcoin addresses, the VIX index and Google searches for “Bitcoin”. We use realized volatility calculated from high-frequency data and find that the heterogeneous autoregressive model is suitable for Bitcoin volatility. Trading volume further improves this volatility model. The trading volume of Bitcoin can be predicted from Google searches for “Bitcoin”. However, none of the considered variables can predict Bitcoin returns.

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标签:比特币价格

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