The topic is : Cryptography for financial markets.
The following tasks will guide you through the econometric analysis:
1. Find a data set: Choose a data set with 3 variables (One different dataset per student). And organise the data in a Excel file.
Describe the sample in terms of number of observations and frequency. Present the dataset using a relevant graph and explain the main features of each variable. Explain your intuition about dependent and independent variables.
2. Data description:
a. Discuss and describe your data as well as the reason(s) for your choice of data and using “Descriptive Statistics” for each variable (Variables X1,X2 and X3)
b. Plot all variables and comment on graph(s).
c. Transform your prices/level variables into returns. (Rename the variables: x1, x2,
x3)
d. Describe statistically the transformed data set (plot it) and comment about your
results.
e. Plot each Xi (xi) variable against the Xj (xj) variable in a scatter plot and comment
about the relation between each pair of variables based on a co-variances and correlation analysis.
3. Regression analysis:
a. Then regress the dependent variable against the set of independent variables with a multiple regression model or a set of simple regressions. Explain and interpret the results.
b. Analyse the results of the regression in terms of coefficients and associated t- statistics, R squared (adjusted) and F-statistic.
c. Perform a residual analysis – explain and interpret the results
d. Perform a robustness analysis – explain and interpret the results
e. Choose one of the estimators to build a relevant forecast – explain and interpret
the results
4. Conclusions: Using the main results of your analysis, conclude about all these results trying to find ideas or models that could be used to improve the analysis.
