Research Article


DOI :10.26650/JEPR.946081   IUP :10.26650/JEPR.946081    Full Text (PDF)

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

Mohamed Khalil BenzekrıHatice Şehime Özütler

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. 

JEL Classification : G17 , G15 , G12
DOI :10.26650/JEPR.946081   IUP :10.26650/JEPR.946081    Full Text (PDF)

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

Mohamed Khalil BenzekrıHatice Şehime Özütler

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. 

JEL Classification : G17 , G15 , G12

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APA

Benzekrı, M.K., & Özütler, H.Ş. (2021). On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA. Journal of Economic Policy Researches, 8(2), 293-309. https://doi.org/10.26650/JEPR.946081


AMA

Benzekrı M K, Özütler H Ş. On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA. Journal of Economic Policy Researches. 2021;8(2):293-309. https://doi.org/10.26650/JEPR.946081


ABNT

Benzekrı, M.K.; Özütler, H.Ş. On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA. Journal of Economic Policy Researches, [Publisher Location], v. 8, n. 2, p. 293-309, 2021.


Chicago: Author-Date Style

Benzekrı, Mohamed Khalil, and Hatice Şehime Özütler. 2021. “On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA.” Journal of Economic Policy Researches 8, no. 2: 293-309. https://doi.org/10.26650/JEPR.946081


Chicago: Humanities Style

Benzekrı, Mohamed Khalil, and Hatice Şehime Özütler. On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA.” Journal of Economic Policy Researches 8, no. 2 (Sep. 2021): 293-309. https://doi.org/10.26650/JEPR.946081


Harvard: Australian Style

Benzekrı, MK & Özütler, HŞ 2021, 'On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA', Journal of Economic Policy Researches, vol. 8, no. 2, pp. 293-309, viewed 24 Sep. 2021, https://doi.org/10.26650/JEPR.946081


Harvard: Author-Date Style

Benzekrı, M.K. and Özütler, H.Ş. (2021) ‘On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA’, Journal of Economic Policy Researches, 8(2), pp. 293-309. https://doi.org/10.26650/JEPR.946081 (24 Sep. 2021).


MLA

Benzekrı, Mohamed Khalil, and Hatice Şehime Özütler. On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA.” Journal of Economic Policy Researches, vol. 8, no. 2, 2021, pp. 293-309. [Database Container], https://doi.org/10.26650/JEPR.946081


Vancouver

Benzekrı MK, Özütler HŞ. On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA. Journal of Economic Policy Researches [Internet]. 24 Sep. 2021 [cited 24 Sep. 2021];8(2):293-309. Available from: https://doi.org/10.26650/JEPR.946081 doi: 10.26650/JEPR.946081


ISNAD

Benzekrı, MohamedKhalil - Özütler, HaticeŞehime. On the Predictability of Bitcoin Price Movements: A Short-term Price Prediction with ARIMA”. Journal of Economic Policy Researches 8/2 (Sep. 2021): 293-309. https://doi.org/10.26650/JEPR.946081



TIMELINE


Submitted31.05.2021
Accepted16.07.2021

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