Cryptomarket analysis: optimal liquidation and market efficiency study

Esta tesis doctoral presenta una investigación profunda sobre la liquidación óptima de activos en criptomonedas y el análisis de la dinámica del mercado bajo la Hipótesis de Mercado Eficiente Débil (WEMH) en diversas criptomonedas. El primer artículo de la tesis se centra en la liquidación de Binanc...

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Autores:
Tipo de recurso:
Fecha de publicación:
2024
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/43141
Acceso en línea:
https://doi.org/10.48713/10336_43141
https://repository.urosario.edu.co/handle/10336/43141
Palabra clave:
Análisis de impacto en el precio
Análisis de tendencias
Calibración del impacto en el precio
Comercio de criptomonedas
Criptomoneda
Datos de alta frecuencia
Entropía de Shannon
Eficiencia del mercado
Estrategias óptimas de comercio
Estacionariedad
Índice de Hurst
Impacto Permanente en el Precio (PPI)
Impacto Temporal en el Precio (TPI)
Libro de Órdenes (LOB)
Liquidación de criptomonedas
Liquidación óptima
Métodos de diferencias finitas
Microestructura del libro de órdenes
Modelos analíticos
Modelos de comercio financiero
Modelos estocásticos
Soluciones analíticas
Test de autocorrelación
Analytical solutions
Autocorrelation
Binance Coin (BNB)
Cryptocurrency
Cryptocurrency Liquidation
Cryptocurrency Trading
Finite Difference Methods
Financial Trading Models
High-Frequency Data
Hurst Index
Limit Order Book (LOB) Data
Market Efficiency
Market Scenarios (Underestimation, Overestimation, Average Estimation)
Optimal liquidation
Optimal Trading Strategies
Order Book Microstructure
Permanent Price Impact (PPI)
Price Impact Analysis
Price Impact Calibration
Shannon Entropy
Stochastic Modeling
Temporary Price Impact (TPI)
Trend Analysis
Weak Efficient Market Hypothesis
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License
Attribution-NonCommercial-NoDerivatives 4.0 International
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oai_identifier_str oai:repository.urosario.edu.co:10336/43141
network_acronym_str EDOCUR2
network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
dc.title.none.fl_str_mv Cryptomarket analysis: optimal liquidation and market efficiency study
dc.title.TranslatedTitle.none.fl_str_mv Análisis del criptomercado: liquidación óptima y estudio de la eficiencia del mercado
title Cryptomarket analysis: optimal liquidation and market efficiency study
spellingShingle Cryptomarket analysis: optimal liquidation and market efficiency study
Análisis de impacto en el precio
Análisis de tendencias
Calibración del impacto en el precio
Comercio de criptomonedas
Criptomoneda
Datos de alta frecuencia
Entropía de Shannon
Eficiencia del mercado
Estrategias óptimas de comercio
Estacionariedad
Índice de Hurst
Impacto Permanente en el Precio (PPI)
Impacto Temporal en el Precio (TPI)
Libro de Órdenes (LOB)
Liquidación de criptomonedas
Liquidación óptima
Métodos de diferencias finitas
Microestructura del libro de órdenes
Modelos analíticos
Modelos de comercio financiero
Modelos estocásticos
Soluciones analíticas
Test de autocorrelación
Analytical solutions
Autocorrelation
Binance Coin (BNB)
Cryptocurrency
Cryptocurrency Liquidation
Cryptocurrency Trading
Finite Difference Methods
Financial Trading Models
High-Frequency Data
Hurst Index
Limit Order Book (LOB) Data
Market Efficiency
Market Scenarios (Underestimation, Overestimation, Average Estimation)
Optimal liquidation
Optimal Trading Strategies
Order Book Microstructure
Permanent Price Impact (PPI)
Price Impact Analysis
Price Impact Calibration
Shannon Entropy
Stochastic Modeling
Temporary Price Impact (TPI)
Trend Analysis
Weak Efficient Market Hypothesis
title_short Cryptomarket analysis: optimal liquidation and market efficiency study
title_full Cryptomarket analysis: optimal liquidation and market efficiency study
title_fullStr Cryptomarket analysis: optimal liquidation and market efficiency study
title_full_unstemmed Cryptomarket analysis: optimal liquidation and market efficiency study
title_sort Cryptomarket analysis: optimal liquidation and market efficiency study
dc.contributor.advisor.none.fl_str_mv Ramírez Jaime, Hugo Eduardo
dc.contributor.gruplac.none.fl_str_mv Grupo de investigaciones. Facultad de Economía. Universidad del Rosario
dc.subject.none.fl_str_mv Análisis de impacto en el precio
Análisis de tendencias
Calibración del impacto en el precio
Comercio de criptomonedas
Criptomoneda
Datos de alta frecuencia
Entropía de Shannon
Eficiencia del mercado
Estrategias óptimas de comercio
Estacionariedad
Índice de Hurst
Impacto Permanente en el Precio (PPI)
Impacto Temporal en el Precio (TPI)
Libro de Órdenes (LOB)
Liquidación de criptomonedas
Liquidación óptima
Métodos de diferencias finitas
Microestructura del libro de órdenes
Modelos analíticos
Modelos de comercio financiero
Modelos estocásticos
Soluciones analíticas
Test de autocorrelación
topic Análisis de impacto en el precio
Análisis de tendencias
Calibración del impacto en el precio
Comercio de criptomonedas
Criptomoneda
Datos de alta frecuencia
Entropía de Shannon
Eficiencia del mercado
Estrategias óptimas de comercio
Estacionariedad
Índice de Hurst
Impacto Permanente en el Precio (PPI)
Impacto Temporal en el Precio (TPI)
Libro de Órdenes (LOB)
Liquidación de criptomonedas
Liquidación óptima
Métodos de diferencias finitas
Microestructura del libro de órdenes
Modelos analíticos
Modelos de comercio financiero
Modelos estocásticos
Soluciones analíticas
Test de autocorrelación
Analytical solutions
Autocorrelation
Binance Coin (BNB)
Cryptocurrency
Cryptocurrency Liquidation
Cryptocurrency Trading
Finite Difference Methods
Financial Trading Models
High-Frequency Data
Hurst Index
Limit Order Book (LOB) Data
Market Efficiency
Market Scenarios (Underestimation, Overestimation, Average Estimation)
Optimal liquidation
Optimal Trading Strategies
Order Book Microstructure
Permanent Price Impact (PPI)
Price Impact Analysis
Price Impact Calibration
Shannon Entropy
Stochastic Modeling
Temporary Price Impact (TPI)
Trend Analysis
Weak Efficient Market Hypothesis
dc.subject.keyword.none.fl_str_mv Analytical solutions
Autocorrelation
Binance Coin (BNB)
Cryptocurrency
Cryptocurrency Liquidation
Cryptocurrency Trading
Finite Difference Methods
Financial Trading Models
High-Frequency Data
Hurst Index
Limit Order Book (LOB) Data
Market Efficiency
Market Scenarios (Underestimation, Overestimation, Average Estimation)
Optimal liquidation
Optimal Trading Strategies
Order Book Microstructure
Permanent Price Impact (PPI)
Price Impact Analysis
Price Impact Calibration
Shannon Entropy
Stochastic Modeling
Temporary Price Impact (TPI)
Trend Analysis
Weak Efficient Market Hypothesis
description Esta tesis doctoral presenta una investigación profunda sobre la liquidación óptima de activos en criptomonedas y el análisis de la dinámica del mercado bajo la Hipótesis de Mercado Eficiente Débil (WEMH) en diversas criptomonedas. El primer artículo de la tesis se centra en la liquidación de Binance Coin (BNB), analizando los impactos temporales y permanentes en los precios utilizando datos del Libro de Órdenes (LOB) de la plataforma Binance. Se introducen modelos lineales y cuadráticos para el Impacto Permanente en el Precio (PPI) y se derivan estrategias óptimas de liquidación a través de soluciones en forma cerrada. El estudio encuentra que el modelo cuadrático de PPI supera notablemente a los modelos lineales en la captura de impactos permanentes en los precios en el comercio financiero. El segundo artículo amplía esta investigación aplicando diferencias finitas e iteración de políticas óptimas para resolver numéricamente el problema de liquidación bajo diferentes escenarios de estimación del impacto en el precio. Caracteriza las políticas de liquidación óptima basándose en varias parametrizaciones y compara su rendimiento con estrategias ingenuas y comunes, destacando la importancia de la forma funcional del inventario en la determinación de políticas que maximicen los ingresos. El tercer artículo se desvía para examinar la dinámica del mercado, introduciendo una metodología novedosa para identificar épocas de tendencias alcistas, tendencias bajistas y reversión a la media utilizando técnicas estadísticas. Busca evaluar la eficiencia del mercado dentro de estos períodos bajo la Hipótesis de Mercado Eficiente Débil (WEMH) a través de métodos que incluyen el índice de Hurst, la entropía de Shannon y pruebas de autocorrelación. El análisis concluye que los mercados de criptomonedas no se adhieren uniformemente a los principios de la WEMH. Mientras que ciertos períodos y frecuencias muestran eficiencia, otros exhiben predictibilidad e ineficiencia, resaltando la naturaleza compleja y fluctuante de la eficiencia del mercado a través de diferentes criptomonedas y condiciones del mercado. En general, esta tesis contribuye al campo proporcionando conocimientos matizados sobre estrategias de liquidación de activos en el contexto del comercio de criptomonedas y avanzando en la comprensión de la dinámica de la eficiencia del mercado en estos nuevos mercados financieros.
publishDate 2024
dc.date.accessioned.none.fl_str_mv 2024-07-29T16:38:34Z
dc.date.available.none.fl_str_mv 2024-07-29T16:38:34Z
dc.date.created.none.fl_str_mv 2024-06-05
dc.type.none.fl_str_mv doctoralThesis
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_db06
dc.type.spa.none.fl_str_mv Tesis de doctorado
dc.identifier.doi.none.fl_str_mv https://doi.org/10.48713/10336_43141
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/43141
url https://doi.org/10.48713/10336_43141
https://repository.urosario.edu.co/handle/10336/43141
dc.language.iso.none.fl_str_mv eng
language eng
dc.rights.*.fl_str_mv Attribution-NonCommercial-NoDerivatives 4.0 International
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.none.fl_str_mv Abierto (Texto Completo)
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
rights_invalid_str_mv Attribution-NonCommercial-NoDerivatives 4.0 International
Abierto (Texto Completo)
http://creativecommons.org/licenses/by-nc-nd/4.0/
http://purl.org/coar/access_right/c_abf2
dc.format.extent.none.fl_str_mv 114 pp
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.spa.fl_str_mv Universidad del Rosario
dc.publisher.department.spa.fl_str_mv Facultad de Economía
dc.publisher.program.spa.fl_str_mv Doctorado en Economía
institution Universidad del Rosario
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spelling Ramírez Jaime, Hugo Eduardo79913523600Grupo de investigaciones. Facultad de Economía. Universidad del RosarioSánchez López, Julián Fernando, Julián Fernando Sánchez LópezDoctor en EconomíaDoctoradoFull timeddf19092-0690-4e99-8f73-e11a92e29668-12024-07-29T16:38:34Z2024-07-29T16:38:34Z2024-06-05Esta tesis doctoral presenta una investigación profunda sobre la liquidación óptima de activos en criptomonedas y el análisis de la dinámica del mercado bajo la Hipótesis de Mercado Eficiente Débil (WEMH) en diversas criptomonedas. El primer artículo de la tesis se centra en la liquidación de Binance Coin (BNB), analizando los impactos temporales y permanentes en los precios utilizando datos del Libro de Órdenes (LOB) de la plataforma Binance. Se introducen modelos lineales y cuadráticos para el Impacto Permanente en el Precio (PPI) y se derivan estrategias óptimas de liquidación a través de soluciones en forma cerrada. El estudio encuentra que el modelo cuadrático de PPI supera notablemente a los modelos lineales en la captura de impactos permanentes en los precios en el comercio financiero. El segundo artículo amplía esta investigación aplicando diferencias finitas e iteración de políticas óptimas para resolver numéricamente el problema de liquidación bajo diferentes escenarios de estimación del impacto en el precio. Caracteriza las políticas de liquidación óptima basándose en varias parametrizaciones y compara su rendimiento con estrategias ingenuas y comunes, destacando la importancia de la forma funcional del inventario en la determinación de políticas que maximicen los ingresos. El tercer artículo se desvía para examinar la dinámica del mercado, introduciendo una metodología novedosa para identificar épocas de tendencias alcistas, tendencias bajistas y reversión a la media utilizando técnicas estadísticas. Busca evaluar la eficiencia del mercado dentro de estos períodos bajo la Hipótesis de Mercado Eficiente Débil (WEMH) a través de métodos que incluyen el índice de Hurst, la entropía de Shannon y pruebas de autocorrelación. El análisis concluye que los mercados de criptomonedas no se adhieren uniformemente a los principios de la WEMH. Mientras que ciertos períodos y frecuencias muestran eficiencia, otros exhiben predictibilidad e ineficiencia, resaltando la naturaleza compleja y fluctuante de la eficiencia del mercado a través de diferentes criptomonedas y condiciones del mercado. En general, esta tesis contribuye al campo proporcionando conocimientos matizados sobre estrategias de liquidación de activos en el contexto del comercio de criptomonedas y avanzando en la comprensión de la dinámica de la eficiencia del mercado en estos nuevos mercados financieros.This doctoral thesis presents an in-depth investigation into the optimal liquidation of cryptocurrency assets and the analysis of market dynamics under the Weak Efficient Market Hypothesis (WEMH) across various cryptocurrencies. The first paper of the thesis focuses on the liquidation of Binance Coin (BNB), analyzing temporary and permanent price impacts using Limit Order Book (LOB) data from Binance exchange. It introduces linear and quadratic models for Permanent Price Impact (PPI) and derives optimal liquidation strategies through closed-form solutions. The study finds that the quadratic PPI model notably outperforms linear models in capturing permanent price impacts in financial trading. The second paper extends this investigation by applying finite differences and optimal policy iteration to numerically solve the liquidation problem under different scenarios of price impact estimation. It characterizes optimal liquidation policies based on various parametrizations and compares their performance with naive and common strategies, highlighting the importance of the inventory's functional form in determining revenue-maximizing policies. The third paper diverges to examine market dynamics, introducing a novel methodology for identifying epochs of upward trends, downward trends, and mean reversion using statistical techniques. It seeks to evaluate market efficiency within these periods under the Weak Efficient Market Hypothesis (WEMH) through methods including the Hurst index, Shannon entropy, and autocorrelation tests. The analysis concludes that cryptocurrency markets do not uniformly adhere to WEMH principles. While certain periods and frequencies display efficiency, others exhibit predictability and inefficiency, highlighting the complex and fluctuating nature of market efficiency across different cryptocurrencies and market conditions. Overall, this thesis contributes to the field by providing nuanced insights into asset liquidation strategies in the context of cryptocurrency trading and advancing the understanding of market efficiency dynamics in these novel financial markets.114 ppapplication/pdfhttps://doi.org/10.48713/10336_43141 https://repository.urosario.edu.co/handle/10336/43141engUniversidad del RosarioFacultad de EconomíaDoctorado en EconomíaAttribution-NonCommercial-NoDerivatives 4.0 InternationalAbierto (Texto Completo)EL AUTOR, manifiesta que la obra objeto de la presente autorización es original y la realizó sin violar o usurpar derechos de autor de terceros, por lo tanto la obra es de exclusiva autoría y tiene la titularidad sobre la misma. PARGRAFO: En caso de presentarse cualquier reclamación o acción por parte de un tercero en cuanto a los derechos de autor sobre la obra en cuestión, EL AUTOR, asumirá toda la responsabilidad, y saldrá en defensa de los derechos aquí autorizados; para todos los efectos la universidad actúa como un tercero de buena fe. EL AUTOR, autoriza a LA UNIVERSIDAD DEL ROSARIO, para que en los términos establecidos en la Ley 23 de 1982, Ley 44 de 1993, Decisión andina 351 de 1993, Decreto 460 de 1995 y demás normas generales sobre la materia, utilice y use la obra objeto de la presente autorización. -------------------------------------- POLITICA DE TRATAMIENTO DE DATOS PERSONALES. Declaro que autorizo previa y de forma informada el tratamiento de mis datos personales por parte de LA UNIVERSIDAD DEL ROSARIO para fines académicos y en aplicación de convenios con terceros o servicios conexos con actividades propias de la academia, con estricto cumplimiento de los principios de ley. 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Vol. 3; No. 1; pp. 422–457 - 422–457;OpenAI (2024) ChatGPT: A large language model trained by OpenAI. instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURAnálisis de impacto en el precioAnálisis de tendenciasCalibración del impacto en el precioComercio de criptomonedasCriptomonedaDatos de alta frecuenciaEntropía de ShannonEficiencia del mercadoEstrategias óptimas de comercioEstacionariedadÍndice de HurstImpacto Permanente en el Precio (PPI)Impacto Temporal en el Precio (TPI)Libro de Órdenes (LOB)Liquidación de criptomonedasLiquidación óptimaMétodos de diferencias finitasMicroestructura del libro de órdenesModelos analíticosModelos de comercio financieroModelos estocásticosSoluciones analíticasTest de autocorrelaciónAnalytical solutionsAutocorrelationBinance Coin (BNB)CryptocurrencyCryptocurrency LiquidationCryptocurrency TradingFinite Difference MethodsFinancial Trading ModelsHigh-Frequency DataHurst IndexLimit Order Book (LOB) DataMarket EfficiencyMarket Scenarios (Underestimation, Overestimation, Average Estimation)Optimal liquidationOptimal Trading StrategiesOrder Book MicrostructurePermanent Price Impact (PPI)Price Impact AnalysisPrice Impact CalibrationShannon EntropyStochastic ModelingTemporary Price Impact (TPI)Trend AnalysisWeak Efficient Market HypothesisCryptomarket analysis: optimal liquidation and market efficiency studyAnálisis del criptomercado: liquidación óptima y estudio de la eficiencia del mercadodoctoralThesisTesis de doctoradohttp://purl.org/coar/resource_type/c_db06Facultad de EconomíaBogotáORIGINALCryptomarket_analysis_optimal_liquidation_and.pdfCryptomarket_analysis_optimal_liquidation_and.pdfapplication/pdf1885306https://repository.urosario.edu.co/bitstreams/f2a6d827-adaa-48d3-9eac-e09acf64ffe5/download9726142f8f11f1cd96fbe14cfb8e9ee0MD52References.risReferences.risapplication/x-research-info-systems18563https://repository.urosario.edu.co/bitstreams/d0a75c7f-8b35-4d19-96d0-0a56946ec438/downloadb0a0b1cc6e266388b10d61795ed7d709MD53LICENSElicense.txtlicense.txttext/plain1483https://repository.urosario.edu.co/bitstreams/c8e4aa89-a490-48df-8595-76b36c624c80/downloadb2825df9f458e9d5d96ee8b7cd74fde6MD54CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; 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