calvinyong / cryptocurrency_proj

Cryptocurrency Summer Project 2018

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Cryptocurrency Summer Project 2018

May 2018 - Aug 2018

Ten students, including I, wrote up a quantitative analysis on cryptocurrencies, that studied factors (volatility, volume), correnations, and outlier detection and removal methods. We analyzed about 72GB of tick-level data given to us by the Intercontinental Exchange (ICE) that consisted of 38 cryptocurrency pairs, 14 exchanges, and 3 regions. I was a team leader in this project, and I wrote the majority of the code shown in this repo.

Originally, we were split into two team of five, each team with a team leader. In the end, we were a group of 10 with 2 team leaders.

Descriptions of programs/files

  • Important varaibles for the project
  • Functions reused during the project. The most notable file in this repo.
  • Plot trade data given data source, date, and crypto pair. Plot in plotly or matplotlib.
  • Plot quote data
  • Outputs csv file with trade/quote counts and trade volume for each pair and date
  • Plot quote data (bid or ask) for each exchange, given a date and crypto pair
  • Same as, but for trade data.


Cryptocurrency Summer Project 2018


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