SAINS MALAYSIANA

Pemodelan Kemeruapan dan Gelembung dalam Pasaran Mata Wang Kripto menggunakan Pendekatan Rantaian Markov Tersembunyi

(Modeling Volatility and Bubbles in Cryptocurrency Markets using Hidden Markov Chain Approach)

Jabatan Sains Matematik, Fakulti Sains dan Teknologi, Universiti Kebangsaan Malaysia, 43600 UKM Bangi, Selangor, Malaysia

Keadaan pasaran mata wang kripto sukar untuk dijangkakan kerana mempunyai kemeruapan yang tinggi. Kajian ini menggunakan model rantaian Markov tersembunyi dalam mengelaskan pergerakan utama mata wang kripto. Hasil kajian menunjukkan pasaran mata wang kripto beralih antara lima keadaan yang dikelaskan kepada beberapa pasaran menaik dan menurun mengikut tahap kemeruapan. Kejadian letusan gelembung pasaran yang berlaku semasa krisis mata wang kripto dikesan banyak berada dalam keadaan pasaran menurun dengan kemeruapan tertinggi. Hasil kajian yang diperoleh ini termasuklah kebarangkalian peralihan dapat digunakan oleh para pelabur bagi menyusun strategi pelaburan yang berkesan untuk memperoleh pulangan yang tinggi.

The cryptocurrency market is difficult to predict due to its high volatility. This study uses a hidden Markov chain model to classify the major movements of cryptocurrencies. The results of the study show that the cryptocurrency market alternates between five states, which are categorized into several bullish and bearish markets depending on the degree of volatility. The bursting of market bubbles that occurred during the cryptocurrency crisis was mostly found in bear market states with the highest volatility. Among the results of this study is the transition probability, which can be used by investors to formulate an effective investment strategy to achieve high returns.

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