Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach

2017/07/12 by Mariusz Tarnopolski, Tarnopolski, Mariusz · 1 voice
#q-fin.CP #econ.GN #q-fin.ST #stat.AP

paper · pdf · doi:10.48550/arxiv.1707.03746

Abstract

The long-term dependence of Bitcoin (BTC), manifesting itself through a Hurst exponent H>0.5, is exploited in order to predict future BTC/USD price. A Monte Carlo simulation with 10⁴ geometric fractional Brownian motion realisations is performed as extensions of historical data. The accuracy of statistical inferences is 10%. The most probable Bitcoin price at the beginning of 2018 is 6358 USD.

Discussions

• Price model of Bitcoin with Brownian motion leads to $6358 per coin [hn, 7 points, 2 comments]

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