Independently Published

20 May 2019

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By Dean Fantazzini

About the BookAbout the Author(s)Further Info

The main objective of this book is to provide the necessary background to analyze cryptocurrencies markets and prices. To this end, the book consists of three parts: the first one is devoted to cryptocurrencies markets and explains how to retrieve cryptocurrencies data, how to compute liquidity measures with these data, how to calculate bounds for Bitcoin (and cryptocurrencies) fundamental value and how competing exchanges contribute to the price discovery process in the Bitcoin market. The second part is devoted to time series analysis with cryptocurrencies and presents a large set of univariate and multivariate time series models, tests for financial bubbles and explosive price behavior, as well as univariate and multivariate volatility models. The third part focuses on risk and portfolio management with cryptocurrencies and shows how to measure and backtest market risk, how to build an optimal portfolio according to several approaches, how to compute the probability of closure/bankruptcy of a crypto-exchange, and how to compute the probability of death of crypto-assets.

All the proposed methods are accompanied by worked-out examples in R using the packages bitcoinFinance and bubble.

This book is intended for both undergraduate and graduate students in economics, finance and statistics, financial and IT professionals, researchers and anyone interested in cryptocurrencies financial modelling. Readers are assumed to have a background in statistics and financial econometrics, as well as a working knowledge of R software.


Note from the Author
Given the content which is full of R code and formulas, I strongly advise the reader to consider only the paper version of this book. The kindle version was created by compiling the original R-markdown/latex file into an epub file, where all formulas were transformed into figures. Unfortunately, the limitations of the epub format strongly decreased the quality of the final epub book compared to the original high-quality pdf file used for the paper version of the book. Despite these issues, several people asked me for a digital copy so there is one <a href=””>available here</a>.

Quantitative finance with R and cryptocurrencies headshot

Dean Fantazzini is the Deputy Head of the Chair of Econometrics and Mathematical Methods in Economics at the Moscow School of Economics – Moscow State University. The author has to his credit more than 80 publications, including four monographs.