Bitcoin Fiyat Hareketleri Üzerine: ARIMA ile Kısa Vadeli Bir Fiyat Tahmini

Year 2021, Volume: 8 Issue: 2, 293 - 309, 04.08.2021

Mohamed Khalil Benzekri Hatice Şehime Özütler

Abstract

Kripto paraların günlük işlem hacmi Bitcoin öncülüğündeki artış eğilimini uzun zamandır sürdürürken 2012’den bugüne, günlük işlem miktarı 7 binden 1 milyona ulaşmıştır. Bu çalışma Bitcoin özelinde kripto paralardan beklenen faydanın ne olduğunu inceleyip, fiyat dalgalanmaları ve volatilitenin öngörülebilirlik derecesini tespit etmeyi amaçlamaktadır. Çünkü yüksek getiri vaadeden bu piyasaya dönük risk iştahı ve getiri maksimizasyonu ikilemi, kurumsal yatırımcılar için özellikle sıfır alt sınırı ve negatif getiri ortamında belirginleşmiştir. Dolayısıyla Bitcoin’in kısa vadeli fiyat hareketlerinin öngörülebilirliği, fiyat formasyonuna da ışık tutacaktır. Çalışmada ARIMA yaklaşımının tercih edilme nedeni kısa vadeli tahminlerdeki duyarlılığıdır. ARIMA (1,1,0) Bitcoin’in 2020Q3 ve 2020Q4 dönemlerindeki fiyat hareketlerini istatistiki olarak isabetli tahmin etmiş ve modelde görülen sapmalar, yatırımcıların Bitcoin için dijital bir varlık olması yönünde değişen, yatırım değeri algıları ile ilişkilendirilmiştir.

Keywords

Volatilite Tahmini, Kripto Piyasası, Piyasa Mikro Yapısı, Varlık Fiyatlaması, Bitcoin

On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA

Abstract

Daily transactions in cryptocurrencies have long been following an ascending tendency, with Bitcoin leading the charge. Daily transactions recorded in the system increased from 7000 trade per day in 2012to more than 1 million nowadays. The study aims to examine the utility of cryptocurrencies specific to Bitcoin and diagnose how predictable its price fluctuations and the volatility of the crypto market. Because the dilemma between risk aversion and return maximization became evident for investors with high yielded digital assets in a zero-lower bound environment. Hence the predictability of its price movements in the short run may shed some light on the price formation of Bitcoin. Using an ARIMA model in forecasting Bitcoin price due to its response to short-term data, the study revealed that ARIMA (1,1,0) is efficient in forecasting quarterly price movements for the last two quarters of 2020, and the deviation of its price in this period might suggest a change in its perceived investment value to investors as a digital asset after the outbreak of COVID-19. 

Keywords

Volatility Forecasting, Crypto Market, Market Microstructure, Asset Pricing, Bitcoin

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