Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach
Download full text from publisher
References listed on IDEAS
- repec:eee:ecolet:v:158:y:2017:i:c:p:3-6 is not listed on IDEAS
- repec:eee:finlet:v:16:y:2016:i:c:p:85-92 is not listed on IDEAS
- Urquhart, Andrew, 2016. "The inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 148(C), pages 80-82.
- Ali, Robleh & Barrdear, John & Clews, Roger & Southgate, James, 2014. "The economics of digital currencies," Bank of England Quarterly Bulletin, Bank of England, vol. 54(3), pages 276-286.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2013.
"Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoin,"
Working Papers CEB
13-031, ULB -- Universite Libre de Bruxelles.
- Marie Briere & Kim Oosterlinck & Ariane Szafarz, 2015. "Virtual Currency, Tangible Return: Portfolio Diversification with Bitcoins," ULB Institutional Repository 2013/226296, ULB -- Universite Libre de Bruxelles.
- Dwyer, Gerald P., 2015. "The economics of Bitcoin and similar private digital currencies," Journal of Financial Stability, Elsevier, vol. 17(C), pages 81-91.
- Yanhui Liu & Parameswaran Gopikrishnan & Pierre Cizeau & Martin Meyer & Chung-Kang Peng & H. Eugene Stanley, 1999. "The statistical properties of the volatility of price fluctuations," Papers cond-mat/9903369, arXiv.org, revised Mar 1999.
- Adrian (Wai-Kong) Cheung & Eduardo Roca & Jen-Je Su, 2015. "Crypto-currency bubbles: an application of the Phillips-Shi-Yu (2013) methodology on Mt. Gox bitcoin prices," Applied Economics, Taylor & Francis Journals, vol. 47(23), pages 2348-2358, May.
- Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Matteo, T. Di & Aste, T. & Dacorogna, Michel M., 2005.
"Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development,"
Journal of Banking & Finance,
Elsevier, vol. 29(4), pages 827-851, April.
- T. Di Matteo & T. Aste & M. M. Dacorogna, 2004. "Long term memories of developed and emerging markets: using the scaling analysis to characterize their stage of development," Papers cond-mat/0403681, arXiv.org.
- T. Di Matteo & T. Aste & Michel M. Dacorogna, 2005. "Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development," Econometrics 0503004, EconWPA.
- Lo, Andrew W, 1991.
"Long-Term Memory in Stock Market Prices,"
Econometric Society, vol. 59(5), pages 1279-1313, September.
- Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
- Lo, Andrew W. (Andrew Wen-Chuan), 1989. "Long-term memory in stock market prices," Working papers 3014-89., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Tom Doan, "undated". "RSSTATISTIC: RATS procedure to compute R/S Statistic (classical or Lo's modified)," Statistical Software Components RTS00191, Boston College Department of Economics.
- C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
- Nadarajah, Saralees & Chu, Jeffrey, 2017. "On the inefficiency of Bitcoin," Economics Letters, Elsevier, vol. 150(C), pages 6-9.
- Jackwerth, Jens Carsten & Rubinstein, Mark, 1996. " Recovering Probability Distributions from Option Prices," Journal of Finance, American Finance Association, vol. 51(5), pages 1611-1632, December.
- Bouri, Elie & Molnár, Peter & Azzi, Georges & Roubaud, David & Hagfors, Lars Ivar, 2017. "On the hedge and safe haven properties of Bitcoin: Is it really more than a diversifier?," Finance Research Letters, Elsevier, vol. 20(C), pages 192-198.
- Cheah, Eng-Tuck & Fry, John, 2015. "Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin," Economics Letters, Elsevier, vol. 130(C), pages 32-36.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-07-16 (All new papers)
- NEP-CMP-2017-07-16 (Computational Economics)
- NEP-PAY-2017-07-16 (Payment Systems & Financial Technology)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1707.03746. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.