03850ntm a22005297i 4500 000663860 CZ-PrVSE 20200202100126.0 m d cr n|||||||||| 200202s2020 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Rebrova, Yulia ISIS:109352 dis Analýza přítomnosti bublin na trhu kryptoměn. eng Analysis of bubble presence in cryptocurrency market / Yulia Rebrova 2020 ?? stran : digital, PDF soubor Vedoucí práce: Jiří Witzany Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby This master thesis focuses on the analysis of the cryptocurrency market in 2016-2019 period and aims to confirm the presence of bubbles in this market. First, there are performed SADF and GSADF tests recommended as being able to detect the presence of financial bubbles as well as to indicate the starting and the end date using a date-stamping procedure. Based on the outcomes of the tests performed over the twelve major cryptocurrencies, according to their market capitalization, it can be concluded that there were bubbles present which burst around the break between 2017 and 2018 and there are bubbles started in 2019 for a few cryptocurrencies. Second, there is applied a framework called Log-Periodic Power Law model which is suggested as being able to capture the end of the bubble ex-post and ex-ante together with the price development. Consequently, the Log-Periodic Power Law model was able to capture the time of crash for different cryptocurrencies with high accuracy at the end of 2017 and beginning 2018. It can be stated that the cryptocurrency market had a price exuberance resulted in the bubble burst. For the bubbles started in 2019, the prediction with expanding rolling window was able to mimic the price evolution better compared to the single one prediction period. The critical times of crash were again determined quite precisely but the prediction horizon was short. Overall, the framework captures the speed of the price acceleration and the log-periodic oscillation which differ significantly from one cryptocurrency to the other. This means that the price evolution of cryptocurrencies has different patterns during the bubble period and the price behavior cannot be simply generalized. However, based on the results of calibration of the Log-Periodic Power Law model it is a promising framework the price evolution in the cryptocurrency market which is historically prone to high volatility. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Cryptocurrency market bubble SADF test GSADF test critical point LPPL model log-periodic oscillation Witzany, Jiří, 1966- vse2007429830 ths Budská, Petra ISIS:136110 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://insis.vse.cz/zp/67722/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/67722 Hlavní práce https://insis.vse.cz/zp/67722/priloha/19789 Přiloha k práci https://insis.vse.cz/zp/67722/podrobnosti dc:identifier NEPOSILAT VSKP vse67722 200128 67722