Crypto - and traditional markets KW50 – end for the increase of bitcoin volatility?

the correlation to Gold has increased, so that Bitcoin and Gold are now positively correlated. The volatility actually found a Plateau at about 0.05 percent, while the yield fell to minus two per cent per day.

Dr. Philipp Giese
15. December 2018ShareFacebookTwitterLinkedInxingemail

What good is Bitcoin and the strongly correlated crypto market as a random Asset? Decoupled from the traditional markets from the crypto-market? And how strong the volatility is bitcoin?

The sizes of the correlation and volatility are just for institutional investors: A low correlation with traditional markets such as the S&P500, the DAX or the Dow Jones would be that the crypto-market for institutional investors could be interesting. It would be for a greater diversification of the portfolio is helpful. Another Monitor, the volatility is high volatility and the associated risk scare off institutional investors.

Since the beginning of November, we keep track of how Bitcoin fails in comparison to traditional markets. We look, therefore, on the correlation in the last month, on a sliding correlation and a sliding volatility. The last two values are calculated for each day based on the last 30 days. Since the correlations within the crypto market behavior very similar to BTC for institutional investors, is currently the most interesting, we focus mostly on the Bitcoin price.

of The 14. November commenced sale on the crypto-market. The volatility is also back. Meanwhile, the coupling XRP is almost on a par with the between Ethereum and Bitcoin:

also, you can restrict the view on Bitcoin, qualitatively, the results are undoubtedly transferable.

correlation: crypto-currencies vs. traditional market

The correlation of Bitcoin to the classical values has changed since last week. An exception is Gold. While in the last few weeks, Bitcoin and Gold were slightly anti-correlated, the coupling, in the meantime, be positive. In a direct comparison, the coupling of Bitcoin to the traditional markets of the Oil to the other markets surveyed:

This image is confirmed when looking at the current correlations. Almost all Assets have with respect to Bitcoin, a correlation of about 0.2. The coupling to Gold is still the lowest, however, continues to increase:

Bitcoins volatility soon in a saturation

Well, Bitcoin is a highly volatile Asset. After all, in the past week expressed suspicion of a saturation of The increase in volatility is now lower. The volatility of Oil, although higher than that of the other traditional markets, the Fall, and only half as high as that of Bitcoin:

Furthermore, the crypto-market is still a little a Investment. The rising volatility depends on the falling rate of return. The daily return is, as in the last week, minus two percent. This is significantly below that of Gold, the indices SP500, Dow Jones and Dax, and Oil. Even the relatively poor Asset Oil has been adjusted with respect to returns to other Assets:

in This case, the yield is currently more likely for a Trader, the Short Position use, interesting, as for long-term investors. In order for this to happen, it must reverse the Trend of the rate of return and the volatility decline.

data on the Basis of cryptocompare.com, finance.yahoo.com and fred.stlouisfed.org