Impact of COVID 19 pandemic on cryptocurrency market using time series models with variance gamma distribution

Summary

This project will investigate properties of high frequency cryptocurrency returns data which often display high kurtosis. Popular heavy tail distributions like Student t and exponential power may still be inadequate to provide high enough level of kurtosis. Recent studies have considered variance gamma distribution in which the shape parameter can be made sufficiently small to provide unbounded density around the centre and heavy tails at the two ends of the distribution. As gamma variance distribution can be expressed as scale mixtures of normal, it facilitates model implementation in the Bayesian approach via some Bayesian softwares such as stan (in R). We will consider long memory, stochastic volatility and leverage effect modelling and investigate how these features change during the pandemic period. Currently, there are not much studies which investigate the impact of COVID 19 pandemic on the cryptocurrency market and so this study will be pioneering, interesting and important.

Supervisor(s)

Associate Professor Jennifer Chan

Research Location

School of Mathematics and Statistics

Program Type

PHD

Synopsis

Financial time series models and change point detection

Additional Information

HDR Inherent Requirements

In addition to the academic requirements set out in the Science Postgraduate Handbook, you may be required to satisfy a number of inherent requirements to complete this degree. Example of inherent requirement may include:

- Confidential disclosure and registration of a disability that may hinder your performance in your degree;
- Confidential disclosure of a pre-existing or current medical condition that may hinder your performance in your degree (e.g. heart disease, pace-maker, significant immune suppression, diabetes, vertigo, etc.);
- Ability to perform independently and/or with minimal supervision;
- Ability to undertake certain physical tasks (e.g. heavy lifting);
- Ability to undertake observatory, sensory and communication tasks;
- Ability to spend time at remote sites (e.g. One Tree Island, Narrabri and Camden);
- Ability to work in confined spaces or at heights;
- Ability to operate heavy machinery (e.g. farming equipment);
- Hold or acquire an Australian driver’s licence;
- Hold a current scuba diving license;
- Hold a current Working with Children Check;
- Meet initial and ongoing immunisation requirements (e.g. Q-Fever, Vaccinia virus, Hepatitis, etc.)

You must consult with your nominated supervisor regarding any identified inherent requirements before completing your application.

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Keywords

Cryptocurrency returns, variance gamma distribution, unbounded density, high frequency data, COVID 19 pandemic

Opportunity ID

The opportunity ID for this research opportunity is: 2877

Other opportunities with Associate Professor Jennifer Chan