Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866916255121801216 |
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| author | Singh, Ayush Jha, Anshu K. Kumar, Amit N. |
| author_facet | Singh, Ayush Jha, Anshu K. Kumar, Amit N. |
| contents | In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of methodologies. We adopt an approach that involves implementing different drift, volatility, and jump terms within the model through various machine learning techniques, traditional methods, and statistical methods on price-volume data. Additionally, we introduce a path-dependent Monte Carlo simulation to model cryptocurrency prices, taking into account the volatility and unexpected jumps in prices. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_12988 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation Singh, Ayush Jha, Anshu K. Kumar, Amit N. Statistical Finance Probability In this paper, our focus lies on the Merton's jump diffusion model, employing jump processes characterized by the compound Poisson process. Our primary objective is to forecast the drift and volatility of the model using a variety of methodologies. We adopt an approach that involves implementing different drift, volatility, and jump terms within the model through various machine learning techniques, traditional methods, and statistical methods on price-volume data. Additionally, we introduce a path-dependent Monte Carlo simulation to model cryptocurrency prices, taking into account the volatility and unexpected jumps in prices. |
| title | Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation |
| topic | Statistical Finance Probability |
| url | https://arxiv.org/abs/2405.12988 |