Digest Finance
 

Setting the Stochastic Model for Mid-Term Prediction of Cryptocurrency Exchange Rate: The Bitcoin Case

Vol. 23, Iss. 3, SEPTEMBER 2018

PDF  Article PDF Version

Received: 20 April 2018

Received in revised form: 4 May 2018

Accepted: 18 May 2018

Available online: 28 September 2018

Subject Heading: RISK, ANALYSIS AND EVALUATION

JEL Classification: F47, F63, G17

Pages: 261-273

https://doi.org/10.24891/df.23.3.261

Safiullin M.R. Kazan (Volga Region) Federal University (KFU), Kazan, Republic of Tatarstan, Russian Federation
Marat.Safiullin@tatar.ru

https://orcid.org/0000-0003-3708-8184

El'shin L.A. University of Management TISBI, Kazan, Republic of Tatarstan, Russian Federation
Leonid.Elshin@tatar.ru

https://orcid.org/0000-0002-0763-6453

Abdukaeva A.A. Center of Advanced Economic Research in Academy of Sciences of Republic of Tatarstan, Kazan, Republic of Tatarstan, Russian Federation
Aliya.Abdukaeva@tatar.ru

https://orcid.org/0000-0003-1262-5588

Importance The article discusses the process of economic and mathematical modeling of time series describing the volatility of the bitcoin exchange rate through the Autoregressive Moving Average (ARMA) models.
Objectives We search for, and substantiate tools and mechanisms used to predict the cryptocurrency market developments.
Methods The research applies tools of stochastic analysis of stationary and non-stationary time series.
Results The ARIMA models provide for rather precise estimates of current and future changes in the digital money rates for a three to four month’s time.
Conclusions and Relevance The bitcoin price will have approximated USD 11,000 by the end of Q3 2018. The methodological approaches to modeling help determine not only future trends, but also changes in exchange rates throughout the entire analyzable period. The findings provide empirical information for cryptocurrency market regulators and business community.

Keywords: cryptocurrency market, forecast, modeling, time series, stochastic analysis, bitcoin

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