Financial Econometrics of Cryptocurrency Markets: Modeling and Forecasting

The global digital currency market has grown rapidly in recent years, mainly as a result of
advances in blockchain technologies, which have ensured greater security for transactions.
The total market capitalization value of traded cryptocurrencies went from USD 7 billion in
early 2016 to USD 8.4 trillion in early 2021. Like stocks, bonds, commodities and derivatives,
digital currencies have also been used by market agents in portfolio diversification and in
risk management. In this context, the modeling and forecasting of cryptocurrencies prices
are of fundamental importance. This research project aims to evaluate the financial
econometrics of cryptocurrency markets based on the investigation of the following topics:
i) price discovery in different exchanges; ii) modeling the volatility of price returns; iii)
development of artificial intelligence and machine learning models for price and direction
forecasting; iv) study of fractal properties and market efficiency; v) risk management
through symbolic analysis using interval modeling; and vi) management and diversification
of investment portfolios with digital currencies. The research aims to study and
characterize, within the framework of modern financial econometrics, the main global
digital currency markets, in order to contribute to the academic literature and also to
promote analysis and management tools for market practitioners interested in
cryptocurrencies trading.

Principal Investigator and Coordinator:

Leandro dos Santos Maciel (FEAUSP)
Professor of Finance, Department of Business, Faculty of Economics, Business and
Accounting, University of São Paulo
CV (in portuguese):




Associate Researchers:

Heitor Teixeira Couto Campos – Undergraduate Student – Mechanical Engineering (EESC-USP). E-mail:







Gustavo Franzener Gonçalves da Silva – Undergraduate Student – Mechatronic
Engineering (POLI). E-mail:







Luiz Henrique Pires Clemente – Undergraduate Student – Mechatronic Engineering
(POLI). E-mail:







Lukas Gherman da Silva – Undergraduate Student – Business Administration
(FEAUSP). E-mail: