Abu Bakar, Nashirah and Rosbi, Sofian (2017) Robust outliers detection method for volatility of bitcoin exchange rate using three sigma (3Σ) approach. In: 6th International Conference On Social Sciences Research 2017, 4th December 2017, Melia, Kuala Lumpur, Malaysia..

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Abstract

Cryptocurrency is a digital currency designed to work as a medium of exchange using cryptography to secure the transactions, to control the creation of additional units, and to verify the transfer of assets. The objective of this study is to evaluate the volatility condition for cryptocurrency (Bitcoin) exchange rate and return. Volatility calculated as standard deviation of logarithmic returns.This study performed normality test using Shapiro-Wilk method.Then, the high volatility detection performed using box-whisker plot and statistical process control chart. In descriptive statistical analysis, the mean for Bitcoin return is 0.006 and the deviation is 0.04458.The standard error indicates the volatility for Bitcoin is 4.458 %. This value is considered as high value of volatility.High value of volatility indicates the investment in Bitcoin is categorical as high risk investment.The important of this study is to assist investors to develop better investment portfolio in targeting better profit and lowering the loss.

Item Type:	Conference or Workshop Item (Paper)
Additional Information:	e-ISBN 978-967-0792-23-1
Uncontrolled Keywords:	Bitcoin, Investment, Return, Volatility, Statistical Process Control
Subjects:	Q Science > QA Mathematics
Divisions:	Islamic Business School
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	13 Feb 2018 03:47
Last Modified:	13 Feb 2018 03:47
URI:	https://repo.uum.edu.my/id/eprint/23074

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