Model povrata kriptovaluta zasnovan na podatcima iz lanaca blokova

undergraduate thesis

• Title (english): A Model for Cryptocurrency Returns Based on Blockchain Data
• Author: Sven Goluža
• Mentor: Zvonko Kostanjčar (mentor)
• Committee member: Zvonko Kostanjčar (predsjednik povjerenstva)
• Committee member: Stjepan Begušić (član povjerenstva)
• Committee member: Vanessa Keranović (član povjerenstva)
• Granter: University of Zagreb; Faculty of Electrical Engineering and Computing; Zagreb
• Defense date and country: 2019-07-12, Croatia
• Scientific / art field, discipline and subdiscipline: TECHNICAL SCIENCES; Computing

Abstract

U radu je obrađena metodologija određivanja fundamentalne vrijednosti kriptovaluta. Definiran je NVT omjer te su prikazana svojstva tržišta kriptovaluta i postupak određivanja NVT omjera kriptovaluta. Opisan je postupak slaganja i upravljanja investicijskim portfeljem te najvažnije tehnike poput raspodijeljivanja imovine i rebalansiranja portfelja. Složen je investicijski portfelj kriptovaluta prema njihovom NVT omjeru čije su izvedbe testirane na dva načina. Uz to je napravljen investicijski portfelj kriptovaluta prema NVNT omjeru kriptovaluta čije su izvedbe također testirane. Konstruiran je faktorski model povrata kriptovaluta sačinjen od dva faktora koji čine povrat tržišnog portfelja i povrat portfelja kriptovaluta s najboljom izvedbom. Faktorski model konstruiran je za određeni broj kriptovaluta i interpretiran za svaku od njih.

Abstract (english)

In this thesis cryptocurrency fundamental analysis is described. NVT ratio is explained and cryptocurrency market overview is given with NVT ratio being determined for each cryptocurrency from considered dataset. Portfolio management is explained along with its key elements such as asset allocation and rebalancing. Two cryptocurrency portfolios are formed based on cryptoasset NVT ratio and one portfolio is formed based on cryptoasset NVNT ratio. Portfolio performances are tested and results are explained. Factor model containing two factors is built. Factors consist of market portfolio return and best-performed cryptocurrency portfolio return. Model is built for each of the observed cryptocurrency and used to explain cryptocurrency returns.

• Keywords: kriptovaluta; faktorski model; fundamentalna analiza; NVT omjer; portfelj; linearna regresija; izvedba
• Keywords (english): cryptocurrency; factor model; fundamental analysis; NVT ratio; portfolio; linear regression; performance
• Language: croatian
• URN:NBN: urn:nbn:hr:168:389103
• Study programme: Title: Computing; Study programme type: university; Study level: undergraduate; Academic / professional title: sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva (sveučilišni/a prvostupnik/ prvostupnica (baccalaureus/baccalaurea) inženjer/inženjerka računarstva)
• Type of resource: Text
• File origin: Born digital
• Access conditions: Closed access
• Created on: 2020-01-07 18:10:32