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- W4387304608 abstract "Cryptocurrencies are increasingly utilized by investors and financial institutions worldwide. The current paper proposes a prediction model for a cryptocurrency that encompasses three properties observed in the markets for cryptocurrencies—namely high volatility, illiquidity, and regime shifts. By using Ito calculus, we provide a solution for the suggested stochastic differential equation (SDE) along with a proof. Moreover, numerical simulations are performed and are compared to the real data, which seems to capture the dynamics of the price path of a cryptocurrency in the real markets." @default.
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- W4387304608 date "2023-10-04" @default.
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- W4387304608 title "A Stochastic Model for Cryptocurrencies in Illiquid Markets with Extreme Conditions and Structural Changes" @default.
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- W4387304608 doi "https://doi.org/10.1007/978-3-031-35828-9_41" @default.
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