Open AccessEffects of Volatility and Trend Indicator for Improving Price Prediction of Cryptocurrency
Author(s) -
Ahmed Zahim Dahham Dahham,
Abdullahi Abdu İbrahim
Publication year - 2020
Publication title -
iop conference series. materials science and engineering
Language(s) - English
Resource type - Journals
eISSN - 1757-899X
pISSN - 1757-8981
DOI - 10.1088/1757-899x/928/3/032043
Subject(s) - cryptocurrency , volatility (finance) , economics , econometrics , currency , digital currency , monetary economics , financial economics , computer science , computer security
The purpose of this research is to identify how effective the determinants of the improved price changes in cryptocurrencies are and if they are predictable. The study addresses several independent variables that are in our consideration which may impact the prices the most. To obtain the results, panel data has been used to run fixed effects models. Then we treated them as time series data to run dynamic trend indicator and first-differencing volatility regression model. Important political shocks and instabilities have been analyzed and interpreted in this paper. In the light of our findings we were able to comment on the complex relation between cryptocurrency prices and socio-political situations throughout the time range. The results address that cryptocurrency price changes are predictable. It is easy to say that major stakeholders (Apple, Amazon, Facebook, Google, Tesla) affect the most prices. Internet search trends seem to have an impact but at the end it has been found that the correlation is strong. We have evaluated all the major cryptocurrency prices with exact accuracy of 95.38% using the volatility regression model effectively. All the cryptocurrencies are evaluated against US dollars in regard of different cryptocurrency like Bitcoin, Ethereum, Litecoin and Ripple digital currency. Cryptocurrencies shouldn’t be seen as a gambling medium and should be taken more seriously like an investment medium. In some specific occasions investing in cryptocurrencies may lead lucrative income.