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Mutual Influence of Cryptocurrency Markets and Traditional Financial Markets

Student: Chufistov Artem

Supervisor: Grigory Kantorovich

Faculty: Faculty of Economic Sciences

Educational Programme: Applied Economics (Master)

Year of Graduation: 2020

In this research there was analysed the mutual influence of cryptocurrency markets and traditional financial markets using well-known methods and models of time series. As test data on which the working ability of the program code was verified, the closing prices of Bitcoin (BTC) and Ethereum (ETH) were selected for the time interval from 09.02.2019 - 09.02.2020. It was found strong mutual influence between them. Real data - the daily closing prices of Bitcoin, which is the main representative of the cryptocurrency market, the S&P500 stock index, the basket of which includes 500 companies with the highest capitalization, which shares are traded on the US stock exchanges, the index of total return on crude oil and the SPDR Gold exchange investment fund Trust, which shares are 100% backed by gold. The time interval for the above data is 15.09.2014 - 09.04.2020 was broken into 3 parts. In the research is shown that over time it is possible to establish a mutual influence between cryptocurrency and traditional financial markets, and taking into account the dynamics of markets helps to predict the movement of cryptocurrency prices.

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