PRI­ME: Dr. Mark Rit­ter "Bit­coin and Gold: A Re­turn Pro­fi­le Ana­ly­sis Using Self-Ex­ci­ting Thres­hold Au­to­re­gres­si­ve and Mar­kov Swit­ching Mo­dels"

Ort: Q4.245
Veranstalter: Department Wirtschaftsinformatik

Im Rahmen des PRIME (Paderborn Research Colloquium on Information Management & Engineering) begrüßt das Department Wirtschaftsinformatik Herrn Dr. Mark Ritter (Dean, School of Business, La Salle University Philadelphia). Wir freuen uns auf seinen  Vortrag "Bitcoin and Gold: A Return Profile Analysis Using Self-Exciting Threshold Autoregressive and Markov Switching Models", den Mark im Rahmen des PRIME Seminars, des TAF Research Seminars sowie des Seminar of Economics and Management (SEAM) hält.


This presentation explores and contrasts the return profiles of two distinct asset classes, gold and Bitcoin, utilizing the Self-Exciting Threshold Autoregressive (SETAR) model and the Markov Switching (MS) model to identify regime shifts. Gold, traditionally viewed as a safe-haven asset, and Bitcoin, a relatively new digital currency known for its high volatility, present unique investment opportunities and risks. With its capacity to account for non-linearity by segmenting data based on pre-defined thresholds, the SETAR model allows for capturing the dynamic behavior of gold and Bitcoin returns under different market conditions. Meanwhile, based on observed data patterns, the MS model offers a probabilistic approach to detecting regime changes, categorizing market states into distinct phases, such as high or low volatility. Comparative analysis reveals that gold and Bitcoin exhibit regime-switching behavior but with notable differences in frequency, duration, and triggers of these shifts. While macroeconomic indicators and geopolitical tensions influence gold's price movements, Bitcoin's volatility is closely tied to regulatory news, technological advancements, and speculative trading. This study underscores the importance of considering non-linear models like SETAR and MS for investors and policymakers aiming to understand the complex dynamics of traditional and digital asset markets. Through this lens, we gain insights into the risk-return characteristics of gold and Bitcoin, highlighting their roles in diversification strategies and portfolio management.

Die Teilnahme ist auf 30 Teilnehmer*innen begrenzt, wir bitten daher um Anmeldung bei Carina Uhde.

© Mark A. Ritter, D.B.A., Dean, School of Business