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

Mariusz Tarnopolski

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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 $10^4$ 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.

New Economics Papers: this item is included in nep-cmp and nep-pay
Date: 2017-07, Revised 2017-08
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