On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies

Youssef El-Khatib and Abdulnasser Hatemi-J

MPRA Paper from University Library of Munich, Germany

Abstract: Cryptocurrencies are increasingly utilized by investors and financial institutions worldwide. The current paper proposes a prediction model for a cryptocurrency that encompasses three properties observed in the markets for cryptocurrencies—namely high volatility, illiquidity, and regime shifts. By using Ito calculus, we provide a solution for the suggested stochastic differential equation (SDE) along with a proof. Moreover, numerical simulations are performed and are compared to the real data, which seems to capture the dynamics of the price path of a cryptocurrency in the real markets.

Keywords: Stochastic Modeling; cryptocurrencies; illiquid; high volatility; regime switching; CTMC. (search for similar items in EconPapers)
JEL-codes: G1 G12 G17 (search for similar items in EconPapers)
Date: 2022-09
New Economics Papers: this item is included in nep-pay and nep-rmg
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Related works:
Journal Article: On a regime switching illiquid high volatile prediction model for cryptocurrencies (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:114556

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