Crypto Analysis COVID-19 amid turmoil and after plunge

COVID-19 financial asset analysis trace

Introduction

  1. Robustness of decentralization beyond central parties risk, there is no companies or governments or sovereignties involved, the protocol rules
  2. Assets such as cash, gold, commodity, these asset classes are distributed in digital deed but must exist in actual, these assets might be contaminated

Alternative asset for time of uncertainty

Preparation

Data source for pandas-datareader (stooq, FRED)

Analytic tool

Directly from the platform and without involving DevOps, data scientists can develop and deploy AI and machine learning models rapidly into production. Anaconda provides the tools needed to easily.

  • Docker container is lightweight and potable because it doesn’t need any extra layer of hypervizor and can be reproducible as an Docker image
  • Docker platform provides a tool to manage containers and containers are good for CI/CD (Continuous integration and Continuous delivery).
  • Docker images are potable and can be pulled from repositories (DockerHub or cloud/private repositories) to reproduce the same result
  • Docker images can be defined as text file that is called “Dockerfile”, this means this file also can be managed and maintained like a code
  • Docker images are customizable, it consists of layers based on other images or it can be created from scratch with a “Dockerfile”
# conda list
backtesting 0.1.7
mpl-finance 0.10.1
optuna 1.3.0
pandas-datareader 0.8.1
pandas-highcharts 0.5.2
ta-lib 0.4.17
Jupyter first page (I mounted the local volume here)

Experiment & Analysis

Stats of the financial assets in 2020
Fig.1 Coefficient of variation per asset
Fig2. Rolling 7-days change of financial assets (%)
Fig.3 Rolling 7-days standard deviation of financial assets (%)
Fig4. Bitcon’s Rolling 7-days correlations with other financial assets
Fig.5 Correlation of the financial assets

Correlations between gold and other financial assets have also soared during this time, signaling that the world’s financial markets are more interconnected than ever before.

Fig6. Gold’s Rolling 7-days correlations with other financial assets
Fig.7 Rolling 21-day historical volatilities for financial assets
Fig.8 Rolling 21-days sharpe ratio for financial assets

Conclusion

  1. Crypto currencies might outperform other financial assets because it reacts to the market faster than others and no worrisome points because neither bankruptcy nor default happens in decentralized nature
  2. Crypto currencies are less correlated with the traditional financial assets such as stock, real estate, gold so it would be adequate for hedge asset to adjust risk especially except bitcoin that was correlated to some extent

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Cloud Architect and Blockchain Enthusiast, techflare.blog, Vinyl DJ, Backpacker. ブロックチェーン・クラウド(AWS/Azure)関連の記事をパブリッシュ。バックパッカーとしてユーラシア大陸を陸路横断するなど旅が趣味。

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Yuya Sugano

Yuya Sugano

Cloud Architect and Blockchain Enthusiast, techflare.blog, Vinyl DJ, Backpacker. ブロックチェーン・クラウド(AWS/Azure)関連の記事をパブリッシュ。バックパッカーとしてユーラシア大陸を陸路横断するなど旅が趣味。

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