Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach
Cryptocurrency is a digital currency designed to work as a medium of exchange using cryptography to secure the transactions, to control the creation of additional units, and to verify the transfer of assets. The objective of this study is to evaluate the volatility condition for cryptocurrency (Bit...
| Main Authors: | , |
|---|---|
| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2017
|
| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/23074/1/ICSSR%202017%20399%20410.pdf |
| _version_ | 1803628477599973376 |
|---|---|
| author | Abu Bakar, Nashirah Rosbi, Sofian |
| author_facet | Abu Bakar, Nashirah Rosbi, Sofian |
| author_sort | Abu Bakar, Nashirah |
| collection | UUM |
| description | Cryptocurrency is a digital currency designed to work as a medium of exchange using cryptography
to secure the transactions, to control the creation of additional units, and to verify the transfer of assets. The objective of this study is to evaluate the volatility condition for cryptocurrency (Bitcoin) exchange rate and return. Volatility calculated as standard deviation of logarithmic returns.This study performed normality test using Shapiro-Wilk method.Then, the high volatility detection performed using box-whisker plot and statistical process control chart. In descriptive statistical analysis, the mean for Bitcoin return is 0.006 and the deviation is 0.04458.The standard error indicates the volatility for Bitcoin is 4.458 %. This value is considered as high value of volatility.High value of volatility indicates the investment in Bitcoin is categorical as high risk investment.The important of this study is to assist investors to develop better investment portfolio in targeting better profit and lowering the loss. |
| first_indexed | 2024-07-04T06:22:35Z |
| format | Conference or Workshop Item |
| id | uum-23074 |
| institution | Universiti Utara Malaysia |
| language | English |
| last_indexed | 2024-07-04T06:22:35Z |
| publishDate | 2017 |
| record_format | dspace |
| spelling | uum-230742018-02-13T03:47:43Z https://repo.uum.edu.my/id/eprint/23074/ Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach Abu Bakar, Nashirah Rosbi, Sofian QA Mathematics Cryptocurrency is a digital currency designed to work as a medium of exchange using cryptography to secure the transactions, to control the creation of additional units, and to verify the transfer of assets. The objective of this study is to evaluate the volatility condition for cryptocurrency (Bitcoin) exchange rate and return. Volatility calculated as standard deviation of logarithmic returns.This study performed normality test using Shapiro-Wilk method.Then, the high volatility detection performed using box-whisker plot and statistical process control chart. In descriptive statistical analysis, the mean for Bitcoin return is 0.006 and the deviation is 0.04458.The standard error indicates the volatility for Bitcoin is 4.458 %. This value is considered as high value of volatility.High value of volatility indicates the investment in Bitcoin is categorical as high risk investment.The important of this study is to assist investors to develop better investment portfolio in targeting better profit and lowering the loss. 2017-12-04 Conference or Workshop Item PeerReviewed application/pdf en https://repo.uum.edu.my/id/eprint/23074/1/ICSSR%202017%20399%20410.pdf Abu Bakar, Nashirah and Rosbi, Sofian (2017) Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach. In: 6th International Conference On Social Sciences Research 2017, 4th December 2017, Melia, Kuala Lumpur, Malaysia.. |
| spellingShingle | QA Mathematics Abu Bakar, Nashirah Rosbi, Sofian Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach |
| title | Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach |
| title_full | Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach |
| title_fullStr | Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach |
| title_full_unstemmed | Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach |
| title_short | Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach |
| title_sort | robust outliers detection method for volatility of bitcoin exchange rate using three sigma 3σ approach |
| topic | QA Mathematics |
| url | https://repo.uum.edu.my/id/eprint/23074/1/ICSSR%202017%20399%20410.pdf |
| work_keys_str_mv | AT abubakarnashirah robustoutliersdetectionmethodforvolatilityofbitcoinexchangerateusingthreesigma3sapproach AT rosbisofian robustoutliersdetectionmethodforvolatilityofbitcoinexchangerateusingthreesigma3sapproach |