An analysis of the relationship between the value of Bitcoin and US securities

instructions

Since 2018, in terms of the exchange rate, the price of Bitcoin and USD assets have a negative relationship, so we have discussed this several times in our team, but no one can believe us. There is a lot of foreign research on the relationship between the value of Bitcoin and the value of the dollar, and the conclusion is that there is no correlation between the two.

To identify this problem, we modified key data, such as the US dollar index and the price of Bitcoin, and processed the data to create standard counts. After calculation, we finally come to the conclusion.The Bitcoin market is completely independent of US assets, and at this point, this is just the start of a long-term Bitcoin bull market.

practical analysis

1. Key ideas

Bitcoin test data is affected by the Bitcoin price, the exchange rate at the close time is designed to monitor price movement, and test data for US dollar assets will be affected by the dollar index. American (USDX).

Measured with the rate of correlation and synchronization of the moving value.Using the above information as a basis, a very intuitive problem arises. The value of the dollar index fluctuates less than the value of Bitcoin. As a result, data transfer rates and correlation coefficients are relatively low, and additional data analysis techniques are required.

To solve the above problem, we introduce asynchronous speed as a solution.An asynchronous comparison describes that an increase in the value of Bitcoin and an increase in the value of the dollar will occur in different directions (for example, positive and negative numbers, such as an increase in the value of Bitcoin and decrease). the dollar) on time. Time.

2. Data cleaning

Since the Bitcoin and the Dollar Index are problematic in a time series, collaboration is needed.

For data, sort and configure data for three time series: days, weeks, and months.

3. Document processing

Know the advance information about the value of Bitcoin and USD assets by analyzing the data and adding information like price range, volatility, etc.

4. Be a role model

Establish an asynchronous measurement model based on the completed data.

purchase

1. Demonstrate information several times a day

Table 1 Daily graph

2020 data as of October 27, 2020

Source : Sang Geshi, Air, CryptoYC

Figure 1 Magnetic resonance by date *

Cumulative daily frequency correlation coefficient *: Total correlation coefficient from early 2020 until October

Data source: CryptoYC collation

Figure 2 This year's correlation coefficient

Correlation coefficient for the current year *: Correlation coefficient for the natural year

Data source: CryptoYC collation

Figure 3 Asynchronous daily rate *

Data source: CryptoYC collation

From the perspective of the modern frequency correlation coefficient, whether it is the correlation coefficient or the current year correlation coefficient,There has always been a strong correlation between the value of Bitcoin and the value of the dollar.

If we look at the asynchronous value, the asynchronous value of Bitcoin and USD asset value has been declining since 2017.It also means that the number of changes in the same way between the two is increased.However, the utilization rate is not important because this example changes to 50%. This means that the likelihood of Bitcoin and USD asset prices moving towards the same or different indices is just as great.

As the data above shows, the value of Bitcoin and USD assets does not interact with the data multiple times per day.

2. Weekly demo output report

Table 2 Weekly Data Report

2020 data as of October 27, 2020

Source : Sang Geshi, Air, CryptoYC

Figure 4 Weekly frequency relationship coefficient *

Cumulative daily frequency correlation coefficient *: Total correlation coefficient from early 2020 until October

Data source: CryptoYC collation

Figure 5 Correlation coefficient of the year

Correlation coefficient for the current year: Correlation coefficient for the natural year

Data source: CryptoYC collation

Figure 6 Asynchronous Weekly Frequency Rate *

Data source: CryptoYC collation

From the point of view of the correlation coefficient of the weekly frequency, whether it is the correlation coefficient or this year of the correlation coefficient,There has always been a strong correlation between the value of Bitcoin and the value of the dollar. Unlike daily relationships, the intertwined frequency of weekly sessions has increased, building relationships.

Regarding the asynchronous value, the asynchronous value between the value of Bitcoin and the value of the USD asset has always held between 50 and 52%, except in 2015 and 2020.According to statistics, this also means that asset prices in Bitcoin and US dollars are the key to moving in the same direction or in a different direction.

As the data above shows, the value of Bitcoin and USD assets does not interact with the data multiple times per week.

3. Demonstrate monthly frequency data

Table 3 Summary of monthly frequency data

2020 data as of October 27, 2020

Source : Sang Geshi, Air, CryptoYC

Figure 4 Correlation coefficient of monthly frequency *

Cumulative daily frequency correlation coefficient *: Total correlation coefficient from early 2020 until October

Data source: CryptoYC collation

Figure 5 Correlation coefficient of the year

Correlation coefficient for the current year: Correlation coefficient for the natural year

Data source: CryptoYC collation

Figure 6 Monthly frequency Asynchronous rate *

Data source: CryptoYC collation

As we extend the length of the data to the monthly frequency, there is a change in the correlation coefficient. This year's correlation coefficient from 2017 to 2019 has seen significant correlations, and the highest correlation coefficient in 2019 is 0.2065.From this perspective, there is a strong relationship between Bitcoin and long-term US dollar assets in 2019.

At the same time, in terms of asynchronous value, like in 2017 and 2018, Bitcoin's asynchronous value and asset price have changed many times.Due to these changes, it is not possible to determine whether the price movement of Bitcoin and US dollar assets has a clear trend.

To analyse

From a data perspective, the shorter the time, the harder it is to identify the efficiency of the data and requires more signal filters. Correctly complete the signal filtering.

Then we come back to the data level and the current data analysis alone does not explain the problem.However, a broad analysis of correlations and asynchronous values ​​shows that there is no significant unrelated correlation between the moving value of Bitcoin and US assets.At the same time, using the months as an important data, there is some kind of a relationship between the two, but I'm also worried that this relationship is not the same.The end we have painted is the change of bit coins. In this log, the value of Bitcoin and the US assets are available at some time to expand synergy for a long time.

Based on this result, we believe that the exchange rate of the US dollar (USDX) could be one of the factors affecting the price of Bitcoin.

Other detailed information and drawings

Figure 7 Weekly volatility comparison table

Source : Sang Geshi, Air, CryptoYC

Figure 8 Months Frequency Volatility Comparison

Source : Sang Geshi, Air, CryptoYC

The volatility of the monthly frequency is significantly lower than the weekly frequency, proving that Bitcoin is more suited for long-term asset distribution than short-term arbitrage investing.