Master-Thesis

This repository contains the code (built and used) for my Master Thesis, named "Price Discovery in Cryptocurrency Exchanges". The main objective of the thesis was to study the price discovery process in the cryptocurrency markets, for nine cryptocurrencies that enjoy the highest liquidity on 3 exchanges (Binance, Coinbase and Kraken). The methods used for this purpose are the usual ones in the financial literature, such as the Information Shares (IS) measure, proposed by Hasbrouck (1995), and the Pemanent-Transitory (PT) measure, proposed by Gonzalo and Granger (1995). In addition, modifications of the measures are included to verify the existence (and estimate) time-varying versions of the IS and PT. The feasibility of generating (i) IS time-varying measures from hourly modelling of the volatility of the series through a multivariate GARCH and (ii) PT time-varying measures through a rolling window VECM is demonstrated.