How I learned and wrote a research paper on financial econometrics in 2 months

My research paper recently got published in the Asian Journal of Research in Banking and Finance. I have done a deep dive into a question everyone is asking: Are cryptocurrencies a bubble? I've used the most cutting edge econometric methods of bubble detection that have been coined as late as 2015 and even learned a new coding language in that time. So how did a commerce student exactly end up learning financial econometrics and coding?

I started off by taking a look at what methods already exist for bubble detection and came across tons of research papers on the subject. I didn't understand most of what was written in them, so I decided to highlight the frequently used words and then google them, among those keywords was the GSADF test, it had something to do with the ADF test which had something to do with regression - is what I understood at first and then I proceeded to go step by step towards learning my end goal - the GSADF test.

I learned basic statistics and regression in a week and then saw tons of content online about the applications of regression and then I decided to put my skills to the test by taking part in the Sri Ram Data Championship organised by the Economics Society of SRCC. Since I was a lone wolf in what was meant to be a team competition, I got absolutely no time to do anything else other than working on the competition problem for the 3-4 days of the finals, so I decided to put my research paper on hold for then. It all paid off later when I actually won the competition! The biggest achievement of mine during this time was learning about a statistical model in theory on the morning of finals (the ARMA model) and then applying it to the case problem in the competition by the night.

Moving on, I was so motivated to finish my research paper that the coming weeks felt like a breeze as I quickly learned about concepts such as the Monte Carlo simulations and finally learned about the GSADF test itself. Now the biggest challenge was in front of me - Actually coding what I learned to test for bubbles in Cryptocurrencies. I decided to learn the coding language R since it already has a lot of resources (libraries) to help me out in my research. I learned the basics from YouTube tutorials and about the libraries from various research papers and finally did the research in my research paper - the bubble testing on cryptocurrencies.

All that was left was to write the paper itself. I decided to keep it short so that more people are motivated to actually read it and finally completed my research paper in 2 days and sent it over to the publisher - The Asian Journal of Research in Banking and Finance in the last week of November. Even after writing this research paper I probably know less than 1% of financial econometrics. So what next? I've rediscovered my passion for maths and stats and I'm looking forward to learning data science and quantitative finance in the coming months.

Link to the research paper: https://aijsh.com/wp-content/uploads/2022/01/10-11.2-Complete-AJRBF.pdf