Barbara Będowska-Sójka
Professor, Poznań University of Economics and Business
Resume
Barbara Będowska-Sójka is a full professor in the Department of Econometrics at Poznań University of Economics, Poland. Her main research interests are in financial markets, fintechs, data analysis, and financial econometrics. Recently she focuses on the cryptocurrency markets, the measures of volatility and liquidity based on the high frequency data, coherence of the proxies and the volatility-liquidity dependencies. She has already published in: Energy Economics, Resources Policy, Journal of Financial Stability, Research in International Business and Finance, North American Journal of Finance, Finance Research Letters, Risk Management, Emerging Markets Finance and Trade, Physica A. She has also become the associate editor in Research in International Business and Finance as well as Studies in Economics and Finance. She joined COST Action 19130 in June 2022. More information can be found on ResearchGate.
Abstract
Zombies among coins – prediciting which cryptocurrenices will collapse
Barbara Będowska-Sójka and Piotr Wójcik
The cryptocurrency market has recently seen an increasing number of currencies that have ceased trading. We focus on the cryptocurrencies called zombies for which trading has been halted for at least a month or which have collapsed. The aim of the study is to describe the scale of this phenomenon and to indicate whether the predictors built on the basis of descriptive statistics of the return series allow predicting the collapse of cryptocurrencies. The research sample includes cryptocurrencies listed on the markets in the period from January 2017 to March 2023. We build machine learning models to predict which coins will drop from the market. Our study shows that with AI methods the prediction of the withdraw of a coin from the market is possible. These results might be used to put in place effective policies to mitigate risk in the cryptocurrency market. They allow to build the early warning systems which prevent the market participants from unwanted collapses.