The Volatility Characteristics, Yield Influencing Factors, and Strategies of the Cryptocurrency Market

Abstract

The cryptocurrency utilizes cryptographic principles and ensures transaction security and control unit creation. Due to the lack of guaranteed institutions to maintain price stability, cryptocurrencies are often regarded as investment products rather than means of payment. Its main research fields include its impact on the economy, trading strategies, volatility, and return rates. This article analyzes two typical cryptocurrencies, Bitcoin and Ethereum, from the perspectives of background and market risks, and explores investment strategies in different contexts. The research aims to examine the influence of momentum effect, disposal effect, and investors’ market attention on strategies, and designs three investment strategies, namely the single momentum strategy, the single disposal strategy, and the combined strategy. The volatility was measured through the Generalized Autoregressive Conditional Heteroskedasticity (GARCH(1, 1)) model, and the asymmetry of return volatility was calculated using the rolling sample test method to verify the existence of the anti-leverage effect. That is, the impact of positive news on income fluctuations exceeds that of negative news, and the research results are consistent with those of previous studies. And optimize the user decision-making in the game-based cryptocurrency trading market, analyze the impact on the cryptocurrency market under the influence of different factors, such as block size, discount factor, and total number of users.