Modeling the volatity of cryptocurrency markets
Keyword(s):
The application of the model of geometric Brownian motion (GBM) for the problem of modeling and forecasting prices for cryptocurrencies is analyzed. For prediction the solution of the stochastic differential equation of the GBM model is used, which has a linear drift and diffusion coefficients. Different scenarios of price movement are considered. Keywords: geometric Brownian motion (GBM), modeling, forecasting, cryptocurrency.
2020 ◽
Vol 28
(3)
◽
pp. 183-196
1999 ◽
Vol 41
(4)
◽
pp. 337-346
◽
2009 ◽
Vol 48
(3)
◽
pp. 1675-1700
◽
2017 ◽
Vol 35
(6)
◽
pp. 943-953
◽
2021 ◽
Vol 2084
(1)
◽
pp. 012012
Keyword(s):
1998 ◽
Vol 35
(04)
◽
pp. 856-872
◽
2012 ◽
Vol 25
(11)
◽
pp. 1906-1910
◽
2020 ◽
Vol 130
(11)
◽
pp. 6556-6579