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| 研究生： |
黃靈威 Huang, Ling-Wei |
|---|---|
| 論文名稱： |
比特幣價格泡沫的偵測並以最佳停步法建置比特幣交易策略 Detecting Bitcoin Price Bubble and Constructing Bitcoin Trading Strategy Based on Optimal Stopping Rule |
| 指導教授： |
鍾經樊
Chung, Ching-Fan 張焯然 Chang, Jow-Ran |
| 口試委員: |
索樂晴
So, Leh-Chyan 丘宏昌 Chiu, Hung-Chang |
| 學位類別： |
碩士 Master |
| 系所名稱： |
科技管理學院 - 財務金融 Master Program of Finance and Banking |
| 論文出版年： | 2019 |
| 畢業學年度： | 107 |
| 語文別： | 中文 |
| 論文頁數： | 30 |
| 中文關鍵詞： | 比特幣 、資產泡沫 、最佳停步法 、PSY法 |
| 外文關鍵詞： | Bitcoin, Asset Bubble, Optimal Stopping Rule, PSY Method |
| 相關次數： | 點閱：2 下載：0 |
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自比特幣誕生以來價格經歷多次暴起暴落，未能在泡沫崩壞前離場的投資人往往損失慘重。本研究以PSY法對比特幣價格進行泡沫化檢測，並以價格進入破沫化區間時以最佳停步法決定賣出時機。結果發現PSY確實能進行比特幣泡沫化檢測，且進入泡沫區間後，最佳停步法策略獲利比進入即賣的策略為優。
After Bitcoin launched, its price crossed several bubble periods. Some unlucky investors suffered huge loss because they didn’t sell their cryptocurrency before the bubble collapse. In this study, we apply the PSY method to identify the bubble period and recruit secretary problem to optimize the sell timing after the bubble started. Our result suggests PSY method can detect the bubble of Bitcoin price and optimal stopping rule dominates the enter-then-sell strategy.
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