BBM511/03: The assignment is based on the BTC-USD and ETH-USD CSV files And The data for Bitcoin covers October 2015: Quantitative techniques Assignment, MUCM, Malaysia

School

Manipal University College Malaysia (MUCM)

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Assignment Type

Individual Assignment

Subject

BBM511/03: quantitative techniques

Uploaded by Malaysia Assignment Help

Date

18/02/2022
  • The assignment is based on the BTC-USD and ETH-USD CSV files.
  • The data for Bitcoin covers October 2015 to December 2021 for a total of 76 observations
  • The data for Ethereum also covers October 2015 to December 2021 for a total of 76 observations
  • These datasets were extracted from Yahoo Finance

Calculate the continuously compounded price returns as,  where is the adjusted closing price on month. If the full sample has76 observations, you will obtain75 return observations.

QUESTIONS

Calculate the sample mean, standard deviation, skewness, minimum, maximum, and range of each log-return series.

  • Are the Bitcoin returns distribution different from the Ethereum returns distribution?

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