MATHEMATICAL MODELING OF ABNORMAL CRYPTOCURRENCY RETURNS UNDER THE INFLUENCE OF INFORMATION EVENTS

The purpose of this study is to examine the impact of public statements, regulatory actions, and major events on the cryptocurrency market, focusing on Bitcoin, Ethereum, Ripple, and Dogecoin. The research analyzes behavioral patterns in market reactions to both positive and negative news, evaluates the volatility and stability of the cryptocurrency market, and investigates correlations among selected digital assets. The research hypothesis suggests that market sentiment and external information factors significantly influence cryptocurrency price movements, with the level of information volatility acting as a key determinant. The methodological framework of the study includes graphical and statistical analysis methods, such as correlation analysis and time series analysis and forecasting (Holt’s method). The data set consists of more than 2,700 daily observations covering the period from 2017 to 2024.The results reveal a strong correlation between the reactions of Bitcoin and Ethereum (0.93), as well as between Dogecoin and Ethereum (0.84), indicating similar price movement patterns in response to information triggers. Highly volatile assets such as Dogecoin and Ripple demonstrate stronger and more prolonged reactions to positive news, whereas relatively stable cryptocurrencies tend to stabilize more quickly. Negative events, particularly those related to regulation and crises, have a more persistent and significant negative impact on the market. The findings also indicate increasing market resilience associated with the growth in the number of investors.The practical significance of the research lies in providing recommendations for investors on accounting for information volatility in order to minimize risks and take advantage of speculative opportunities arising from information-driven price fluctuations. Overall, the study contributes to a deeper understanding of the structure of the cryptocurrency market and the key factors influencing its development.