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arXiv · 1707.03746

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.

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Mariusz Tarnopolski. 2017-07-12. Modeling the price of Bitcoin with geometric fractional Brownian motion: a Monte Carlo approach. https://arxiv.org/abs/1707.03746

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