Machine Learning-Based Analysis of Cryptocurrency Market Financial Risk Management

Abstract

Cryptocurrency is one of the famous financial state in all over the world which cause several type of risks that effect on the intrinsic assessment of risk auditors. From the beginning the growth of cryptocurrency gives the financial business with the wide risk in term of presentation of money laundering. In the institution of financial supports such as anti-money laundering, banks and secrecy of banks proceed as a specialist of risk, manager of bank and officer of compliance which has a provocation for the related transaction through cryptocurrency and the users who hide the illegal funds.In this study, the Hierarchical Risk Parity and unsupervised machine learning applied on the cryptocurrency framework. The process of professional accounting in term of inherent risk connected with cryptocurrency regarding the occurrence likelihood and statement of financial impact. Determining cryptocurrency risks comprehended to have a high rate of occurrence likelihood and the access of private key which is unauthorized. The professional cryptocurrency experience in transaction cause the lower risk comparing the less experienced one. The Hierarchical Risk Parity gives the better output in term of returning the adjusted risk tail to get the better risk management result.The result section shows the proposed model is robust to various intervals which are re-balanced and the co-variance window estimation.

Keywords

• Risk management
• cryptocurrency
• inherent risk
• ineffective exchange control