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    题名: 建模加密貨幣中的相互激發跳躍過程:來自比特幣和以太幣的證據
    Modeling Mutually Exciting Jump Processes in Cryptocurrency:Evidence from BTC and ETH
    作者: 張宏圖
    Chang, Hung-Tu
    贡献者: 林士貴
    Lin, Shih-Kuei
    張宏圖
    Chang, Hung-Tu
    关键词: 相互激發跳躍過程
    傳染效應
    加密貨幣
    交易策略
    Mutually-Exciting Jump Processes
    Contagion Effect
    Cryptocurrency
    Trading Strategy
    日期: 2024
    上传时间: 2024-08-05 12:17:59 (UTC+8)
    摘要: 本文旨在利用相互激發跳躍過程（Mutually-Exciting Jump Processes）來驗證加密貨幣市場中的傳染效應（Contagion Effect）。為了測試模型的有效性，我們還構建了相關的交易策略。研究資料涵蓋了2020和2021年的資金狂熱時期、2022年的市場低迷，以及2023和2024年市場復甦的階段。這種多變的市場環境使得模型的成功更具說服力。研究結果顯示，相互激發模型能更準確地捕捉市場情緒，不論從統計上的結果或是交易策略在樣本外的表現，我們論文所提出的相互激勵模型都比自我激勵模型表現得更加優良。在未來的研究中，可以使用更高頻率的時間架構來探討更微觀的市場結構。
    This paper aims to utilize mutually-exciting jump processes to verify the contagion effect in the cryptocurrency market. To test the effectiveness of the model, we also constructed relevant trading strategies. The study data encompasses the financial frenzy of 2020 and 2021, the market downturn of 2022, and the recovery phases of 2023 and 2024. This diverse market environment enhances the persuasiveness of the model's success. The results indicate that the mutually exciting model can more accurately capture market sentiment. Both the statistical results and the out-of-sample performance of the trading strategies demonstrate that the mutually exciting model outperforms the self-exciting model proposed in our paper. In future research, higher frequency time frameworks can be employed to explore more microscopic market structures.
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    描述: 碩士
    國立政治大學
    金融學系
    111352016
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0111352016
    数据类型: thesis
    显示于类别:[金融學系] 學位論文

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