DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kim, Woochang | - |
dc.contributor.advisor | 김우창 | - |
dc.contributor.author | Jang, Sungmin | - |
dc.date.accessioned | 2021-05-12T19:35:19Z | - |
dc.date.available | 2021-05-12T19:35:19Z | - |
dc.date.issued | 2020 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=910105&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/283931 | - |
dc.description | 학위논문(석사) - 한국과학기술원 : 산업및시스템공학과, 2020.2,[iii, 13 p. :] | - |
dc.description.abstract | This paper studies the causal relationship between Bitcoin and other investment assets. We first test Granger causality, and then calculate transfer entropy as an information theoretic approach. We find that transfer entropy clearly identifies causal interdependency between Bitcoin and other assets, including gold, stock and U.S. dollars, unlike the Granger causality test. However, for symbolic transfer entropy, the pattern in return series shows an asymmetric information flow from other assets to Bitcoin. Our results imply that the Bitcoin market actively interacts with major asset markets, and its long-term equilibrium, as a nascent market, gradually synchromizes with that of other investment assets. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | Bitcoin▼aGranger causality▼aSymbolic Time Series Analysis▼aTransfer Entropy | - |
dc.subject | 비트코인▼a그래인저 인과관계▼a심볼릭 시계열 분석▼a전이 엔트로피 | - |
dc.title | Information flow between Bitcoin and other investment assets | - |
dc.title.alternative | 암호화폐와 기존 자산 간의 정보 흐름 분석 | - |
dc.type | Thesis(Master) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :산업및시스템공학과, | - |
dc.contributor.alternativeauthor | 장성민 | - |
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