This project intends to study the price and return of cryptocurrencies (including Bitcoin, Ether, etc). Students are expected to learn the background of cryptocurrency and its underlying technology, blockchain, develop models of cryptocurrency price and returns, and empirically test the model using real-world data and machine learning algorithms.
Review literature on cryptocurrency price and return, collect relevant data from public sources, cryptocurrency exchanges and financial databases, empirically analyze data, and summarize findings.
Participants are expected to have the ability to independently conduct research. Programming skills is a must. Basic finance knowledge are required. Applicants are required to conduct background research and submit a proposal with hypotheses and execution plan with time line (Gantt chart) before they are enrolled in the class.
Get familiar with background of cryptocurrency and blockchain, as well as asset pricing and valuation models. Produce empirical predictions based on theory and intuition. Practice independently collect and analyze data to test empirical predictions.