Crptocurrency is a digital or virtual currency that uses cryptography for security, transfer process and storage in ledger. This paper is to validate the correlation between exchange rate changes and trading volume changes. Data selected for this study is hourly data starting from 4 November 2017 until 7 November 2017. Methodology implemented in this study started with normality diagnostics and followed by correlation diagnostic. In this study, Pearson correlation calculation is implemented to evaluate the association between two variables namely exchange rate and trading volume. Pearson's correlation coefficient (r) is a measure of the strength of the association between the two variables. Result shows the coefficient of association is 0.123. Therefore, this study proved that the association between exchange rate changes and trading volume changes is very weak association. This value occurred because there is high volatility in hourly data and existence of outliers. The significant of this finding will help investors to recognize the relationship between trading volume and exchange rate. Therefore, it will help investors to make better decision in developing investment portfolio.

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Crptocurrency is a digital or virtual currency that uses cryptography for security, transfer process and storage in ledger. This paper is to validate the correlation between exchange rate changes and trading volume changes. Data selected for this study is hourly data starting from 4 November 2017 until 7 November 2017. Methodology implemented in this study started with normality diagnostics and followed by correlation diagnostic. In this study, Pearson correlation calculation is implemented to evaluate the association between two variables namely exchange rate and trading volume. Pearson's correlation coefficient (r) is a measure of the strength of the association between the two variables. Result shows the coefficient of association is 0.123. Therefore, this study proved that the association between exchange rate changes and trading volume changes is very weak association. This value occurred because there is high volatility in hourly data and existence of outliers. The significant of this finding will help investors to recognize the relationship between trading volume and exchange rate. Therefore, it will help investors to make better decision in developing investment portfolio.

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Diagnostics for Bitcoin Exchange Rate with

Trading Volume: An Analysis of High Frequency

Data in High Volatility Environment

Nashirah Abu Bakar1, Sofian Rosbi2

1

Islamic Business School, College of Business, Universiti Utara Malaysia, Malaysia

2

School of Mechatronic Engineering, Universiti Malaysia Perlis, Malaysia

Abstract— Crptocurrency is a digital or virtual currency Abu Bakar et al. (2017) explains the process of bitcoin

that uses cryptography for security, transfer process and cryptocurrency transaction procedure was started with the

storage in ledger. This paper is to validate the correlation User A transfer digital currency to User B. The

between exchange rate changes and trading volume transaction needs to go through the blockchain path. A

changes. Data selected for this study is hourly data blockchain is an open, distributed ledger that

starting from 4 November 2017 until 7 November 2017. can record transactions between two parties efficiently

Methodology implemented in this study started with and in a verifiable and permanent way (Reid and

normality diagnostics and followed by correlation Harrigan, 2013). A transaction is a transfer of bitcoin

diagnostic. In this study, Pearson correlation calculation value that is broadcast to the network and collected into

is implemented to evaluate the association between two blocks. A transaction typically references previous

variables namely exchange rate and trading volume. transaction outputs as new transaction inputs and

Pearson's correlation coefficient (r) is a measure of the dedicates all input bitcoin values to new outputs (Miers,

strength of the association between the two variables. et al., 2013). Ledger is open to all users in the networks,

Result shows the coefficient of association is 0.123. and all users refer to one public ledger of transaction

Therefore, this study proved that the association between chain (Moore and Christin, 2013).

exchange rate changes and trading volume changes is Cryptocurrency make it easier to transfer funds between

very weak association. This value occurred because there two parties in a transaction; these transfers are facilitated

is high volatility in hourly data and existence of outliers. using public and private keys for security purposes. These

The significant of this finding will help investors to fund transfers are done with minimal processing fees,

recognize the relationship between trading volume and allowing users to avoid the steep fees charged by most

exchange rate. Therefore, it will help investors to make banks and financial institutions for wire transfers.

better decision in developing investment portfolio. Cryptocurrency defines an electronic coin as a chain of

Keywords— Bitcoin, Volatility, Correlation, Exchange digital signatures (Okamoto, 1995). Each owner transfers

rate, Trading volume. the coin to the next by digitally signing a hash of the

previous transaction and the public key of the next owner

I. INTRODUCTION and adding these to the end of the coin. A payee can

Bitcoin cryptocurrency is defined as a digital currency in verify the signatures to verify the chain of ownership.

which encryption techniques are used to regulate the Bitcoin miners help keep the Bitcoin network secure by

generation of units of currency. Bitcoin cryptocurrency approving transactions (Kroll et al., 2013). Mining is an

involve with a complex process with the bitcoin important and integral part of Bitcoin that ensures fairness

cryptocurrency in which encryption techniques are used while keeping the Bitcoin network stable, safe and secure

to regulate the generation of units of currency. Then the (Ron and Shamir, 2013).

system will verify the transfer of funds, operating Innovation in cryptocurrency was increasing popularity

independently from central bank. It is, however, not and the Bitcoin are expected to be a medium of exchange

subject to regulation by central banks, does not enjoy the between the buyer and seller. Therefore, this study was

backing of goods or services with intrinsic value (Rees, performed to investigate the bitcoin transaction.

2014). Specifically, this study will validate the correlation

International Journal of Advanced Engineering, Management and Science (IJAEMS) [Vol-3, Issue-12, Dec- 2017]

https://dx.doi.org/10.24001/ijaems.3.12.7 ISSN: 2454-1311

between exchange rate changes and trading volume from 4 November 2017 until 7 November 2017.These

changes. data are collected from https://www.worldcoinindex.com.

3.2 Mathematical derivation for exchange rate

II. LITERATURE REVIEW changes and trading volume changes

Bitcoin cryptocurrency is difference from conventional This study evaluates the correlation between exchange

currency because it is not a fiat money or specific money. rate changes and trading volume changes. Therefore,

Bitcoin also not regarded as legal tender by a central calculation for exchange rate and trading volume changes

authority or backed by goods or services having an need to be derived.

intrinsic value (Christopher, 2014) and bitcoin is also Firstly, this study derived the percentage changes for

decentralised in the sense that it is not issued by a exchange rate using Equation (1).

government or single institution (Ram, et al, 2016). EX t EX t 1

The price of bitcoin is based on supply and demand. The EX 100 % ………………...……. (1)

EX t 1

exchange rate of cryptocurrency fluctuate widely depend

on news or speculations (Abu Bakar and Rosbi, 2017). Where:

According to Abu Bakar and Rosbi (2017), bitcoin EX is percentage changes of exchange rate,

cryptocurrency involved with high volatility. They found EX t is exchange rate value for trading period t and

the standard error for Bitcoin volatility is 4.458 % show EX t 1 is exchange rate value for trading period t-1.

as high value of volatility. Next, this study derived the percentage of changes for

A defining feature of a cryptocurrency and arguably its trading volume as stated in Equation (2).

most endearing allure is its organic nature; it is not issued

TV TVt 1

by any central authority, rendering it theoretically TV t 100 % ………………………… (2)

immune to government interference or manipulation TVt 1

(Bohme, et al., 2015). Most cryptocurrencies are designed where:

to gradually decrease the production of currency, placing TV is percentage changes of exchange rate,

an ultimate cap on the total amount of currency that will TVt is exchange rate value for trading period t and

ever be in circulation, mimicking precious metals (Barber, TVt 1 is exchange rate value for trading period t-1.

et al., 2012).

Abu Bakar and Rosbi (2017) conclude that a bitcoin

transaction is a transfer of bitcoin value that is broadcast

3.3 Normality statistical test

to the network and collected into blocks. A transaction

The probability density of the normal distribution is:

typically references previous transaction outputs as new

x 2

1

f x

transaction inputs and dedicates all input bitcoin values to 2 2

e …………………………… (3)

new outputs. Transactions are not encrypted, so it is 2 2

collected into a block. Once transactions are buried under is the mean or expectation of the distribution,

enough confirmations, they can be considered

is standard deviation, and

irreversible. This system is vulnerable to hacking activity.

Bitcoin cryptocurrency also has no physical form and 2 is variance for data distribution.

exists only in a network. Bitcoin cryptocurrency is no Properties of a normal distribution:

intrinsic value in that it is not redeemable for another (a) The mean, mode and median are all equal.

commodity, namely gold. (b) The curve is symmetric at the center. Data are

distributed around the mean, μ.

III. RESEARCH METHODOLOGY (c) Exactly half of the values are to the left of center

This section describes the methodology implemented in and exactly half the values are to the right.

this study starting from data selection, data (d) The total area under the curve is 1.

transformation, normality diagnostics and Pearson The null-hypothesis of Shapiro-Wilk normality test is that

correlation diagnostics. This study performed Pearson the population is normally distributed. Thus, if the p-

correlation analysis for exchange rate changes to trading value is less than the chosen alpha level, then the null

volume changes. hypothesis is rejected and there is evidence that the data

3.1 Data selection tested are not from a normally distributed population. On

There are two variables are selected in this study namely the opposite side, if the p-value is greater than the chosen

exchange rate (USD/Bitcoin) and total trading volume alpha level, then the null hypothesis that the data came

(USD). Both of the variables is collected hourly starting from a normally distributed population cannot be rejected.

International Journal of Advanced Engineering, Management and Science (IJAEMS) [Vol-3, Issue-12, Dec- 2017]

https://dx.doi.org/10.24001/ijaems.3.12.7 ISSN: 2454-1311

The Shapiro-Wilk test is a method to evaluate whether a cov X , Y

random sample comes from a normal distribution. The X ,Y

XY

test gives you a W value. The W value larger than chosen

where cov is the covariance, X is the standard

alpha (0.05), will concludes the distribution of data

follows normal distribution. The, if the data shows small deviation of X, and Y is the standard deviation of Y.

values of W, it is indicate your sample is not normally Then, covariance expressed as below:

distributed. The formula for the W value is: cov( X , Y ) E X X Y Y

2

n

ai x( i )

where E is the expectation and X is the mean of X.

E X X Y Y

xi x

2

X ,Y

i 1 XY

where: Then, mathematical equation for ρ can be expressed in

xi is the value in the sample x1 , x2 , x3 ,..., xn ; terms of uncentered moments. Mean of population is

x( i ) is the ordered sample values ,( x(1) is the smallest expressed as next equation,

x x .... xn Variance of population is expressed as next equation,

x 1 2 is the sample mean;

X2 E X E X E X 2 2 X E X E X

2 2

n

ai is constants that derived generated from the means,

E X 2E X E X E X

2 2

E X 2 2E X E X

2 2

sample of size n from a normal distribution. The

calculation of ai is described in below equation.

E X 2 E X

2

T 1

mV

a1 , a2 , a3 ,..., an Y2 E Y 2 E Y

2

m V V m

T 1 1 1/ 2

where:

equation,

V is the covariance matrix of those order statistics;

X E X 2 E X ,

2

m m1 , m2 , m3 ,..., mn

T

Y E Y 2 E Y

2

Element in Equation (8) is represented as:

m1 , m2 , m3 ,..., mn are the expected values of the order Covariance of population is expressed as next equation,

statistics of independent and identically distributed E X X Y Y

random variables sampled from the standard normal

distribution E X E X Y E Y

3.4 Pearson correlation diagnostics E XY X E Y Y E X E X E Y

The Pearson product-moment correlation coefficientis a

measure of the strength of a linear association between E XY E X E Y E X E Y E X E Y

two variables and is denoted by r. The Pearson product- E XY E X E Y

moment correlation develops a line of best fit through the Therefore, Equation (14) can be represented as:

data of two variables. Then, the Pearson correlation E XY E X E Y

coefficient, r, indicates how well the data points fit this X ,Y

E X E X E Y 2 E Y

2 2 2

modeling line.

Consider the Pearson product-moment correlation Then, the equation for sample is derived. Sample

coefficient of two n-dimensional vectors X ={X1, Pearson's correlation coefficient is commonly represented

X2,...,Xn} and Y = {Y1,Y2,...,Yn}. Pearson correlation is by the letter r. Consider the sample of dataset x =

states as the ratio between the covariance of X and Y and {x1,...,xn} containing n values and another dataset y =

the product of their standard deviations. Pearson's {y1,...,yn} containing n values then that formula for r is:

correlation coefficient when applied to a population is cov( x, y )

commonly represented by below equation: rx , y

sx s y

International Journal of Advanced Engineering, Management and Science (IJAEMS) [Vol-3, Issue-12, Dec- 2017]

https://dx.doi.org/10.24001/ijaems.3.12.7 ISSN: 2454-1311

where cov is the covariance, s x is the standard deviation cov x, y

n

of x, and s y is the standard deviation of y. x i x yi y

Then, sample covariance can be expressed as below: i 1

n 1

n

x x y

i i y

1 n

xi yi xi y xyi x y

sample cov x, y i 1 n 1 i 1

n 1

1 n n n n

Therefore, Equation (16) can be written as:

n 1 i 1

xi yi xi y yi x x

i 1 i 1 i 1

y

Then, mathematical equation for r can be expressed in

1 n

terms of uncentered moments. Mean of sample,

n n

xi yi nx y ny x nx

n 1 i 1

y

x i y i

1 n

x i 1

n ,

y

n

i 1 xi yi 2nx y nx

n 1 i 1

y

1 n

xi yi nx

Variance of sample,

y

n 1 i 1

[ xi ]2 2 xi x x 2

1 n 1 n

sx2 xi x

2

n 1 i 1 n 1 i 1 n n

1 n xi yi

1 n

xi yi n i 1n

n 1 i 1

i 1

n

xi nx x

2

n 1 i 1

2

n

n

n

xi

1 n n yi

1

i i 1n

x

2

n xi yi

n 1 i 1

xi i 1

n

n 1 i 1 i 1

1 n n n

n

2

n xi yi xi yi

n xi

n n 1 i 1 i 1 i 1

xi n

1 i 1

2

n 1 i 1

Therefore, Equation (18) can be represented as:

n n n

n n xi yi xi yi

n

2

1 i 1

n xi xi

i 1 i 1

2

rx , y

n n 1 i 1 i 1 n n

2

n n

2

n xi xi n yi yi

2 2

1 n i 1 i 1 i 1 i 1

s y2 yi y

2

n 1 i 1

1 n n

2

n yi yi

IV. RESULT AND DISCUSSIONS

2

normality data characteristics. Then, this study performs

Pearson correlation diagnostics to evaluate the association

Standard deviation of sample,

between changes of exchange rate with changes of trading

1 n n

2

n xi xi

volume.

sx

2

This section describes the normality checking for data

1 n n

2

distribution of exchange rate. The function of this analysis

sy n yi yi

2

the dynamic behavior of exchange rate. The value of

Covariance of sample,

exchange rate is referring as value of United States Dollar

(USD) to the value for each of Bitcoin. Data were

collected hourly starting from 4 November 2017, 0:00

until 7 November, 24:00. There are 97 observations. The

maximum value is 7,557.82 USD on 6 November 2017,

International Journal of Advanced Engineering, Management and Science (IJAEMS) [Vol-3, Issue-12, Dec- 2017]

https://dx.doi.org/10.24001/ijaems.3.12.7 ISSN: 2454-1311

03:00. Meanwhile, the minimum value is 6,996.70 USD 30

on 7 November 2017, 16:00. Exchange rate changes

shows percentage of changes for exchange rate of Bitcoin.

Frequency

7700 15

Exchange rate

7600

Exchange rate (USD / Bitcoin)

10

7500

7400 5

7300 0

-2 -1 0 1 2

7200

Changes of exchange rate (%)

7100

Fig. 3: Histogram of exchange rate changes

7000 Normal Probability Plot of Exchange Rate Changes (%)

mean = -0.0301 standard deviation = 0.79764

6900

0 24 48 72 96 Percentiles

4 Nov. 5 Nov. 6 Nov. 7 Nov. Reference Line

99.5

2017 2017 2017 2017

Observation period (hour) 95

Normal Percentiles

Fig. 1: Dynamic behavior of exchange rate (USD/Bitcoin) 70

3 40

Percentage of changes for exchange rate

2 10

1

1

0.01

0 -3 -2 -1 0 1 2 3

Changes of exchange rate (%)

-1

Fig. 4: Normal probability plot of exchange rate changes

-2 Table 1: Normality test using Shapiro-Wilk

Shapiro-Wilk test

-3

0 4 Nov. 24

5 Nov.

48 6 Nov. 72 7 Nov.

96 Statistics Degree of Probability

2017 2017 2017 2017 freedom value

Observation period (hour)

Exchange

Fig. 2: Percentage of changes for exchange rate 0.988 96 0.567

rate changes

The maximum value is 2.3168 on 4 November 2017, 3.2 Normality characteristics of trading volume data

10:00. Mean of the data distribution is -0.0301 and This section describes the normality checking for trading

standard deviation is 0.79764. volume data. Data selected in this study involving data of

Next, this study validates the normality characteristics trading volume starting from 4 November 2017, 0:00

finding using histogram, normal probability plot and until 7 November 2017, 24:00. The minimum value of

statistical test. Figure 3 shows the histogram of exchange trading volume is 1.860x109 USD on 5 November 2017,

rate changes. The distribution of exchange rate changes 18:00. Meanwhile, the maximum value of trading volume

follows the normal distribution line. Figure 4 is normal is 2.998 x109 USD on 4 November 2017, 10:00.

probability plot of exchange rate changes in percentages. Then, this study calculated the percentage of changes in

Data distribution is near to normal distribution line. the trading volume. Figure 6 shows the percentage of

Therefore, the data distribution is follow normal trading volume changes. The analysis shows the

distribution. maximum value is 9.8619 on 6 November 2017, 13:00.

Then, this study validated the normality using Shapiro- Meanwhile, the minimum value is -6.4298 on 4

Wilk normality test. Table 1 shows the Shapiro-Wilk November 2017, 17:00. Mean of the data distribution for

normality statistical test. The p-value is 0.567. Therefore, changes of trading volume is -0.38392. In addition, the

the data distribution is follow normal distribution. standard deviation of data distribution for trading volume

changes is 2.82637.

International Journal of Advanced Engineering, Management and Science (IJAEMS) [Vol-3, Issue-12, Dec- 2017]

https://dx.doi.org/10.24001/ijaems.3.12.7 ISSN: 2454-1311

9

3.2x10 40

Changes of trading volume

Trading volume (USD)

3.0x10

9 35

9 30

Trading volume (USD)

2.8x10

9 25

Frequency

2.6x10

9 20

2.4x10

9

15

2.2x10

10

9

2.0x10

5

9

1.8x10

0

1.6x10

9 -12 -10 -8 -6 -4 -2 0 2 4 6 8 10 12

0 24 48 72 96 Changes of trading volume (%)

4 Nov. 5 Nov. 6 Nov. 7 Nov.

2017 2017 2017 2017 Fig. 7: Histogram of trading volume changes

Observation period (hour) Normal Probability Plot of Trading Volume Changes (%)

mean = -0.38392 standard deviation = 2.82637

Fig. 5: Dynamic behavior of total trading volume (USD)

Percentiles

Reference Line

99.5

12

Percentage of changes for trading volume

95

Normal Percentiles

Trading volume changes

10

70

8 40

6 10

4 1

2

0.01

0 -10 -5 0 5 10

Trading volume changes (%)

-2

-4 Fig. 8: Normal percentiles for trading volume changes

-6 Table 2: Normality test using Shapiro-Wilk

-8 Shapiro-Wilk test

0 24 48 6 Nov.

72 7 Nov. 96 Statistics Degree of Probability

4 Nov. 5 Nov.

2017 2017 2017 2017

freedom value

Observation period (hour)

Trading

Fig. 6: Percentage of changes in trading volume volume 0.959 96 0.004

Next, this study performed normality test diagnostics to changes

evaluate the data distribution of changes for trading

3.3 Correlation diagnostics of exchange rate changes

volume data. This study implemented graphical approach

with trading volume changes

and numerical statistical test approach to validate the

This section describes the correlation analysis between

normality of data distribution.

exchange rate changes with trading volume changes.

Figure 7 shows the histogram for trading volume changes

Analysis that implemented in this section is using Pearson

in percentage. The distribution is near to normal line. correlation method.

However, there are outliers in right side of normal First, this study validated the correlation using graphical

distribution. Figure 8 shows the normal percentiles plot

method namely scatter plot between two variables. Figure

for trading volume changes. The distribution of data is

9 shows the scatterplot graph between trading volume

near to reference line. Figure 8 indicates the present of

changes and exchange rate changes.

outliers. Next, this study validates the association between trading

Table 2 shows the numerical prove of normality statistical volume changes and exchange rate changes using Pearson

test using Shapiro-Wilk approach. Probability value is

correlation analysis. Table 2 shows the Pearson

0.004. Therefore, data distribution is deviate from normal

correlation diagnostics. Result shows the Pearson

distribution. The presence of the outliers contributes to

correlation is 0.123 that indicates very weak positive

the non-normal distribution of data. correlation. Significant value is larger than 0.05, this

concludes there is no significant correlation between

trading volume changes and exchange rate changes.

International Journal of Advanced Engineering, Management and Science (IJAEMS) [Vol-3, Issue-12, Dec- 2017]

https://dx.doi.org/10.24001/ijaems.3.12.7 ISSN: 2454-1311

3 (d) Then, this study calculated the percentage of changes

in the trading volume. The analysis shows the mean

2 of the data distribution for changes of trading volume

Exchange rate changes (%)

1 data distribution for trading volume changes is

2.82637.

0

(e) Next, this study performed the numerical prove of

normality statistical test using Shapiro-Wilk

-1

approach for trading volume changes. Probability

value is 0.004. Therefore, data distribution is deviate

-2

from normal distribution. The presence of the outliers

-3

contributes to the non-normal distribution of data.

-10 -8 -6 -4 -2 0 2 4 6 8 10 12 (f) Next, this study validates the association between

Trading volume changes (%) trading volume changes and exchange rate changes

Fig. 9: Normal percentiles for trading volume changes using Pearson correlation analysis. Numerical result

Table 2: Correlation diagnostics shows the Pearson correlation is 0.123 that indicates

Correlation Trading very weak positive correlation.

parameters volume The findings of this study are important to investors and

changes economics expert to validate the dynamic behavior of

Pearson correlation 0.123 exchange rate associated with trading volume. High

Significant volatility environment contributes to the non-normality

0.234 data distribution. In the same time, high frequency data

(2 tails)

for Bitcoin also indicates high volatility .Therefore, the

Exchange Sum of squares and finding of this study shows there is very weak positive

26.275

rate cross products correlation between trading volume changes and

changes exchange rate changes.

Covariance 0.277

Number of REFERENCES

96

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Integrated Moving Average (ARIMA) Model for

Forecasting Cryptocurrency Exchange Rate in High

V. CONCLUSION

Volatility Environment: A New Insight of Bitcoin

This objective of this study is to develop robust Pearson

Transaction, International Journal of Advanced

correlation diagnostics between trading volume changes

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and exchange rate changes. Data selected in this study are

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