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

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  • Mariusz Tarnopolski

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.

Suggested Citation

  • Mariusz Tarnopolski, 2017. "Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach," Papers 1707.03746, arXiv.org, revised Aug 2017.
  • Handle: RePEc:arx:papers:1707.03746
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    References listed on IDEAS

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    Cited by:

    1. Vladimir Soloviev & Andrey Belinskiy, 2018. "Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors," Papers 1807.05837, arXiv.org, revised Jul 2018.

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