Verification of Hedging Strategies Against Cryptocurrency Fluctuations

Abstract

This thesis deals with the issue of volatility of cryptocurrency prices.. The theoretical part is developed with the help of scientific literature and scientific articles. The first part of the thesis explains basic concepts such as probability, volatility determination and hedging strategies. In the practical part, the prediction of Bitcoin, Ethereum and Avax prices is performed, Monte Carlo simulation is applied to predict cryptocurrency prices and hedging of the position using variance minimization strategy is performed. Subsequently, these strategies are verified.