Itô Stochastic Differential Equation Modeling for Bitcoin Data

Özdemir Çalıkuşu S., Erdoğan F.

Itô Stochastic Differential Equation Modeling for Bitcoin Data, Van, Turkey, 8 - 10 June 2021, vol.1, no.1, pp.133

  • Publication Type: Conference Paper / Summary Text
  • Volume: 1
  • City: Van
  • Country: Turkey
  • Page Numbers: pp.133
  • Van Yüzüncü Yıl University Affiliated: Yes

Abstract

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.