Modelling the Prices of Cryptocurrencies

Student: Vazikov Nikita

Educational Programme: Applied Economics (Master)

Year of Graduation: 2021

An increasing number of investors are trying to diversify their assets and are considering a new cryptocurrency market for this. This paper describes the regulation and pricing of digital coins: Bitcoin and Ethereum. Using daily data from September 2015 to March 2021, we tested the ARIMA model and a simple moving average to predict the short-term rate of Bitcoin and Ethereum 1 day ahead. The study also used a vector error correction model. The model showed that there is a long-term balance between the price of the Ethereum cryptocurrency and the Google trend. According to the predictions of the model, an increase in Google trend is expected to lead to an increase in the price of Ethereum.

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