Examinando por Materia "Geometric Brownian Motion (GBM)"

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    Ítem
    Niveles óptimos de trading para criptomonedas – Simulación Monte Carlo para bitcoin
    (Universidad EAFIT, 2022) Agudelo Hoyos, Agustín; Giraldo Peña, Sebastián; Vásquez Jiménez, José Julián
    This study aims to analyze the use of statistical tools such as Monte Carlo simulation and Geometric Brownian Motion modeling (GBM), to figure out optimal levels, trends, and success probability in the closing prices of the cryptocurrency known as Bitcoin. This study is backed on current literature about the GBM applied on time-series data of Bitcoin daily closing price in an 8-year frame. In addition to this, a clear context is given on how does Bitcoin and its backing technology Blockchain work. Moreover, a simulation with 10.000 iterations is performed, using a stochastic function of GBM, which is based on historical data of Bitcoin prices from the last 8 years. After this, a forecast is performed to get the bitcoin daily yield and a range of maximum and minimum prices within the next 30 days is done, so the model can retrieve as an output a given likelihood of success.