The Impact of Bitcoin Price Changes on Other Crypto Currencies Prices in High-Frequency Trading

Student: Kazakov Vadim

Faculty: St.Petersburg School of Economics and Management

Educational Programme: Economics (Bachelor)

Year of Graduation: 2024

When Bitcoin sets new price records, the interest in cryptocurrencies around the world grows again. More and more people are considering using cryptocurrencies as an alternative investment option to make a profit. This study aims to explore the world of high-frequency cryptocurrency trading and to understand how Bitcoin's price changes affect the prices of other cryptocurrencies. The main goal of the study is to determine how long the impact of Bitcoin price fluctuations lasts for other cryptocurrencies' prices. To achieve this, we will use vector autoregression (VAR) models and neural networks, analyzing cryptocurrency price data from the Bitstamp exchange over the period of November-December 2023 at a 1-minute time interval. We hypothesize that the significance of Bitcoin's price movements for altcoin prices will decrease monotonically within the first 5-10 minutes after the event.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses