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  1 - Speculative Bubbles in the Bitcoin Digital Currency Market
  Majid Hatefi Majoomard Omolbanin Jalali Mohammad Rahimi Ghasemabadi
  In recent years, digital currencies have attracted many investors. Bitcoin is one of those digital currencies that are considered to be trading more than other currencies. A review of Bitcoin prices is indicative of fluctuations in this market, which increases probabili More

  In recent years, digital currencies have attracted many investors. Bitcoin is one of those digital currencies that are considered to be trading more than other currencies. A review of Bitcoin prices is indicative of fluctuations in this market, which increases probability of existing bubble. In this regard, using the monthly data for the period from 08/2013 to 01/2018, the bubble of this market and the single or multiple type of bubbles were investigated. The method used in this study is A recursive unit root test, which was used in the form of SADF, RADF and GSADF tests. Based on the RADF test, there were four bubble periods (March 2015- April 2015, Decembar 2015- March 2016, July 2016- January 2017, September 2017- not disappeared) that had single structures. Based on the SADF test, there was a continuous long bubble period (August 2016- not disappeared), which has a single structure and has not yet exploded. Finally, based on the GSADF test, there were three bubble periods (March 2015- May 2015, Decembar 2015- March 2016, July 2016- not disappeared), that two first bubbles have same structure (March 2015- May 2015, Decembar 2015- March 2016) and the third one has multiple structure (July 2016- not disappeared). Manuscript profile
• Open Access Article
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  2 - Investigating portfolio performance with higher moment considering entropy and rolling window in banking, insurance, and leasing industries
  Arash Amini Maryam Khalili Araghi Hashem Nikoomaram
  10.22034/amfa.2022.1954904.1720
  The optimal portfolio selection is vital for investment. The risk of portfolio Selection and return is the most critical concern of investment companies and private investors. According to modern portfolio theory, diversification should cover the risk. This theory is ba More

  The optimal portfolio selection is vital for investment. The risk of portfolio Selection and return is the most critical concern of investment companies and private investors. According to modern portfolio theory, diversification should cover the risk. This theory is based on the normality of assets return. Experimental findings indicate that the assets return non-normality. Higher moments are sed to upgrade traditional models with the primary presumption of a normal distribution in recent years. This study uses a higher moment and the entropy for diversification and selects a portfolio given a non-normality assumption. It is essential to use up-to-date information to increase the model's efficiency, and accordingly, we used the rolling window for new price information. For the financial information method, we use the total index return in the last five working days and weigh the shares of the banking, insurance, and leasing industries on the next working day and evaluate this for three years. Python, math, and NumPy libraries were used to analyze the data. The results show that a much higher moment model can provide better portfolio selection results in most cases. Manuscript profile