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Cryptomarket analysis: optimal liquidation and market efficiency study

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dc.contributor.advisorRamírez Jaime, Hugo Eduardo
dc.contributor.gruplacGrupo de investigaciones. Facultad de Economía. Universidad del Rosario
dc.creatorSánchez López, Julián Fernando, Julián Fernando Sánchez López
dc.creator.degreeDoctor en Economía
dc.creator.degreeLevelDoctorado
dc.creator.degreetypeFull time
dc.date.accessioned2024-07-29T16:38:34Z
dc.date.available2024-07-29T16:38:34Z
dc.date.created2024-06-05
dc.descriptionEsta tesis doctoral presenta una investigación profunda sobre la liquidación óptima de activos en criptomonedas y el análisis de la dinámica del mercado bajo la Hipótesis de Mercado Eficiente Débil (WEMH) en diversas criptomonedas. El primer artículo de la tesis se centra en la liquidación de Binance Coin (BNB), analizando los impactos temporales y permanentes en los precios utilizando datos del Libro de Órdenes (LOB) de la plataforma Binance. Se introducen modelos lineales y cuadráticos para el Impacto Permanente en el Precio (PPI) y se derivan estrategias óptimas de liquidación a través de soluciones en forma cerrada. El estudio encuentra que el modelo cuadrático de PPI supera notablemente a los modelos lineales en la captura de impactos permanentes en los precios en el comercio financiero. El segundo artículo amplía esta investigación aplicando diferencias finitas e iteración de políticas óptimas para resolver numéricamente el problema de liquidación bajo diferentes escenarios de estimación del impacto en el precio. Caracteriza las políticas de liquidación óptima basándose en varias parametrizaciones y compara su rendimiento con estrategias ingenuas y comunes, destacando la importancia de la forma funcional del inventario en la determinación de políticas que maximicen los ingresos. El tercer artículo se desvía para examinar la dinámica del mercado, introduciendo una metodología novedosa para identificar épocas de tendencias alcistas, tendencias bajistas y reversión a la media utilizando técnicas estadísticas. Busca evaluar la eficiencia del mercado dentro de estos períodos bajo la Hipótesis de Mercado Eficiente Débil (WEMH) a través de métodos que incluyen el índice de Hurst, la entropía de Shannon y pruebas de autocorrelación. El análisis concluye que los mercados de criptomonedas no se adhieren uniformemente a los principios de la WEMH. Mientras que ciertos períodos y frecuencias muestran eficiencia, otros exhiben predictibilidad e ineficiencia, resaltando la naturaleza compleja y fluctuante de la eficiencia del mercado a través de diferentes criptomonedas y condiciones del mercado. En general, esta tesis contribuye al campo proporcionando conocimientos matizados sobre estrategias de liquidación de activos en el contexto del comercio de criptomonedas y avanzando en la comprensión de la dinámica de la eficiencia del mercado en estos nuevos mercados financieros.
dc.description.abstractThis doctoral thesis presents an in-depth investigation into the optimal liquidation of cryptocurrency assets and the analysis of market dynamics under the Weak Efficient Market Hypothesis (WEMH) across various cryptocurrencies. The first paper of the thesis focuses on the liquidation of Binance Coin (BNB), analyzing temporary and permanent price impacts using Limit Order Book (LOB) data from Binance exchange. It introduces linear and quadratic models for Permanent Price Impact (PPI) and derives optimal liquidation strategies through closed-form solutions. The study finds that the quadratic PPI model notably outperforms linear models in capturing permanent price impacts in financial trading. The second paper extends this investigation by applying finite differences and optimal policy iteration to numerically solve the liquidation problem under different scenarios of price impact estimation. It characterizes optimal liquidation policies based on various parametrizations and compares their performance with naive and common strategies, highlighting the importance of the inventory's functional form in determining revenue-maximizing policies. The third paper diverges to examine market dynamics, introducing a novel methodology for identifying epochs of upward trends, downward trends, and mean reversion using statistical techniques. It seeks to evaluate market efficiency within these periods under the Weak Efficient Market Hypothesis (WEMH) through methods including the Hurst index, Shannon entropy, and autocorrelation tests. The analysis concludes that cryptocurrency markets do not uniformly adhere to WEMH principles. While certain periods and frequencies display efficiency, others exhibit predictability and inefficiency, highlighting the complex and fluctuating nature of market efficiency across different cryptocurrencies and market conditions. Overall, this thesis contributes to the field by providing nuanced insights into asset liquidation strategies in the context of cryptocurrency trading and advancing the understanding of market efficiency dynamics in these novel financial markets.
dc.format.extent114 pp
dc.format.mimetypeapplication/pdf
dc.identifier.doihttps://doi.org/10.48713/10336_43141
dc.identifier.urihttps://repository.urosario.edu.co/handle/10336/43141
dc.language.isoeng
dc.publisherUniversidad del Rosariospa
dc.publisher.departmentFacultad de Economíaspa
dc.publisher.programDoctorado en Economíaspa
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dc.source.instnameinstname:Universidad del Rosario
dc.source.reponamereponame:Repositorio Institucional EdocUR
dc.subjectAnálisis de impacto en el precio
dc.subjectAnálisis de tendencias
dc.subjectCalibración del impacto en el precio
dc.subjectComercio de criptomonedas
dc.subjectCriptomoneda
dc.subjectDatos de alta frecuencia
dc.subjectEntropía de Shannon
dc.subjectEficiencia del mercado
dc.subjectEstrategias óptimas de comercio
dc.subjectEstacionariedad
dc.subjectÍndice de Hurst
dc.subjectImpacto Permanente en el Precio (PPI)
dc.subjectImpacto Temporal en el Precio (TPI)
dc.subjectLibro de Órdenes (LOB)
dc.subjectLiquidación de criptomonedas
dc.subjectLiquidación óptima
dc.subjectMétodos de diferencias finitas
dc.subjectMicroestructura del libro de órdenes
dc.subjectModelos analíticos
dc.subjectModelos de comercio financiero
dc.subjectModelos estocásticos
dc.subjectSoluciones analíticas
dc.subjectTest de autocorrelación
dc.subject.keywordAnalytical solutions
dc.subject.keywordAutocorrelation
dc.subject.keywordBinance Coin (BNB)
dc.subject.keywordCryptocurrency
dc.subject.keywordCryptocurrency Liquidation
dc.subject.keywordCryptocurrency Trading
dc.subject.keywordFinite Difference Methods
dc.subject.keywordFinancial Trading Models
dc.subject.keywordHigh-Frequency Data
dc.subject.keywordHurst Index
dc.subject.keywordLimit Order Book (LOB) Data
dc.subject.keywordMarket Efficiency
dc.subject.keywordMarket Scenarios (Underestimation, Overestimation, Average Estimation)
dc.subject.keywordOptimal liquidation
dc.subject.keywordOptimal Trading Strategies
dc.subject.keywordOrder Book Microstructure
dc.subject.keywordPermanent Price Impact (PPI)
dc.subject.keywordPrice Impact Analysis
dc.subject.keywordPrice Impact Calibration
dc.subject.keywordShannon Entropy
dc.subject.keywordStochastic Modeling
dc.subject.keywordTemporary Price Impact (TPI)
dc.subject.keywordTrend Analysis
dc.subject.keywordWeak Efficient Market Hypothesis
dc.titleCryptomarket analysis: optimal liquidation and market efficiency study
dc.title.TranslatedTitleAnálisis del criptomercado: liquidación óptima y estudio de la eficiencia del mercado
dc.typedoctoralThesis
dc.type.hasVersioninfo:eu-repo/semantics/acceptedVersion
dc.type.spaTesis de doctorado
local.department.reportFacultad de Economía
local.regionesBogotá
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