| Abstract [eng] |
Cryptocurrencies, which were founded 10 years ago, have drastically changed the financial world. Bitcoin started the era of next financial revolution as a form of cryptocurrency. The first studies about bitcoin appeared in 2012. Number of researches have strongly increased in 2017 and until now continue to grow significantly. Researchers begun to analyse bitcoin‘s price, efficiency and volatility problem, arbitrage opportunities in 2017. There is a noticeable growth in research of bitcoin diversification benefits but still there is lack of comprehensive research of bitcoin‘s arbitrage opportunities. This research would help to explore bitcoin‘s arbitrage opportunities. Also, it would give significant insights as real arbitrage data has never been analysed before. Results of bitcoin‘s behaviour investigation would lead to better understanding of interrelationships between cryptocurrency exchanges. Moreover, it would give additional information about main exchanges which form trends in cryptocurrency market. 1 section is devoted to the scientific literature review which shows the arising demand of comprehensive bitcoin arbitrage opportunities. 2 section is devoted to detailed description of a methodology used for interrelationships and network analysis in high-frequency cryptocurrency market. 3 section is used for better understanding of bitcoin‘s price formation by exploring the behaviour of bitcoin. There were used graphical and statistical analysis of bitcoin‘s price volatility. Results show that when bitcoin‘s price increases, number of arbitrage opportunities increases, as well. Analysis was followed by investigations of interrelationships between different exchanges. There were used correlations, response functions, Granger causality test. The analysis of the interrelationships helped to identify that kraken and bitstamp are the main exchanges forming the trends in the bitcoin‘s market, bitbay and cexio also gives important influence on other exchanges. After identifying the main exchanges and their connections between them, there was performed network analysis. Results of network analysis helped to identify the main active groups of exchanges and to find which exchanges is best for selling and buying bitcoins. It was found that exchanges for buying and selling bitcoin differs in different periods of time. However, by evaluating all period results it was noticed that dsx, kraken and bitstamp in the most cases were the most attractive exchanges where investors could buy bitcoin. Cexio, bitmarketlt and coindeal were most attractive for selling bitcoin. After results comparison with other scientists findings by using logical analysis and comparison methods there were provided recommendations, which could give significant insights for institutional investors, fund clerks, lawmakers. Bitcoin can be successfully used as a diversification in financial portfolios. Using bitcoin in financial portfolios would lead to improving accuracy of forecasting opportunities and it could work as a hedge against losses. |
