{"id":437,"date":"2021-09-23T15:05:22","date_gmt":"2021-09-23T18:05:22","guid":{"rendered":"https:\/\/sites.usp.br\/ubri\/?p=437"},"modified":"2022-07-08T12:16:25","modified_gmt":"2022-07-08T15:16:25","slug":"financial-econometrics-of-cryptocurrency-markets-modeling-and-forecasting","status":"publish","type":"post","link":"https:\/\/sites.usp.br\/ubri\/financial-econometrics-of-cryptocurrency-markets-modeling-and-forecasting\/","title":{"rendered":"Financial Econometrics of Cryptocurrency Markets: Modeling and Forecasting"},"content":{"rendered":"

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

Principal Investigator and Coordinator:<\/strong><\/p>\n

\"\"<\/a><\/p>\n

Leandro dos Santos Maciel (FEAUSP)
\nProfessor of Finance, Department of Business, Faculty of Economics, Business and
\nAccounting, University of S\u00e3o Paulo
\nE-mail: leandromaciel@usp.br
\nCV (in portuguese): http:\/\/lattes.cnpq.br\/8223366539713305
\nResearchGate: https:\/\/www.researchgate.net\/profile\/Leandro-Maciel
\nORCID: https:\/\/orcid.org\/0000-0002-1900-7179<\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\n

Associate Researchers:<\/strong><\/p>\n

\"\"<\/a>Heitor Teixeira Couto Campos – Undergraduate Student – Mechanical Engineering (EESC-USP). E-mail: heitortccampos@usp.br<\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\n

\"\"<\/a>Gustavo Franzener Gon\u00e7alves da Silva \u2013 Undergraduate Student – Mechatronic
\nEngineering (POLI). E-mail: gusfgs@usp.br<\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\n

\"\"<\/a> Luiz Henrique Pires Clemente \u2013 Undergraduate Student \u2013 Mechatronic Engineering
\n(POLI). E-mail: luizhclemente@usp.br<\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n

\n

\"\"<\/a>Lukas Gherman da Silva \u2013 Undergraduate Student \u2013 Business Administration
\n(FEAUSP). E-mail: lukasgherman@usp.br<\/p>\n","protected":false},"excerpt":{"rendered":"

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[…]<\/a><\/p>\n","protected":false},"author":178,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":"","_links_to":"","_links_to_target":""},"categories":[3,4,11],"tags":[],"class_list":["post-437","post","type-post","status-publish","format-standard","hentry","category-destaques","category-noticias","category-research-pesquisa"],"_links":{"self":[{"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/posts\/437","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/users\/178"}],"replies":[{"embeddable":true,"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/comments?post=437"}],"version-history":[{"count":4,"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/posts\/437\/revisions"}],"predecessor-version":[{"id":469,"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/posts\/437\/revisions\/469"}],"wp:attachment":[{"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/media?parent=437"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/categories?post=437"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/sites.usp.br\/ubri\/wp-json\/wp\/v2\/tags?post=437"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}