Itô Stochastic Differential Equation Modeling for Bitcoin Data

Özdemir Çalıkuşu S., Erdoğan F.

Itô Stochastic Differential Equation Modeling for Bitcoin Data, Van, Türkiye, 8 - 10 Haziran 2021, cilt.1, sa.1, ss.133

  • Yayın Türü: Bildiri / Özet Bildiri
  • Cilt numarası: 1
  • Basıldığı Şehir: Van
  • Basıldığı Ülke: Türkiye
  • Sayfa Sayıları: ss.133
  • Van Yüzüncü Yıl Üniversitesi Adresli: Evet

Özet

In this study, Bitcoin data is examined by Stochastic Differential Equation Modeling (SDEM). At first, the parameters of SDE established for the given Bitcoin data are estimated by using maximum likelihood estimation method. Then, we have obtained reasonable Stochastic Differential Equation (SDE) based on the Bitcoin data. Finally, by applying Euler-Maruyama Approximation Method trajectories of SDE according to the fixed time are achieved. The performances of trajectories are established by Chi-Square criteria. The results are acquired by using statistical software R-Studio.