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Bitcoin - Monero analysis: Pearson and Spearman correlation coefficients of cryptocurrencies
Mälardalen University, School of Education, Culture and Communication.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

In this thesis, an analysis of Bitcoin, Monero price and volatility is conducted with respect to S&P500 and the VIX index. Moreover using Python, we computed correlation coefficients of nine cryptocurrencies with two different approaches: Pearson and Spearman from July 2016 -July 2018. Moreover the Pearson correlation coefficient was computed for each year from July2016 - July 2017 - July 2018. It has been concluded that in 2016 the correlation between the selected cryptocurrencies was very weak - almost none, but in 2017 the correlation increased and became moderate positive. In 2018, almost all of the cryptocurrencies were highly correlated. For example, from January until July of 2018, the Bitcoin - Monero correlation was 0.86 and Bitcoin - Ethereum was 0.82.

Place, publisher, year, edition, pages
2018. , p. 95
Keywords [en]
Bitcoin, Monero, S&P500, VIX, correlation, unit root, ADF test, Pearson correlation coefficient, Spearman correlation coefficient.
National Category
Mathematics
Identifiers
URN: urn:nbn:se:mdh:diva-41402OAI: oai:DiVA.org:mdh-41402DiVA, id: diva2:1265361
Subject / course
Mathematics/Applied Mathematics
Supervisors
Examiners
Available from: 2018-11-28 Created: 2018-11-23 Last updated: 2018-11-28Bibliographically approved

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Mathematics

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1718192021222320 of 38
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf