Bitcoin: A Non-Markovian Stochastic Process

Authors

  • Roberto B. Corcino Cebu Normal University Author
  • Karl Patrick Casas Cebu Normal University Author
  • Allan Roy Elnar Cebu Normal University Author

DOI:

https://doi.org/10.61569/vr8wbc64

Keywords:

Bitcoin, Cryptocurrency, Fluctuation analysis, Markov model, Mean square displacement, White noise analysis, Brownian motion, Gaussian white noise measure, Fourier representation, Gaussian integral

Abstract

In this paper, a mathematical model is constructed that would capture the pattern of the MSD of fluctuations of Bitcoin unit prices over time in daily basis by applying the method of White Noise Analysis. The raw data of 2805 ordered points (t,p) are used in the study, which are taken from coindesk.com, where p is the Bitcoin unit price at given time t.

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Published

2018-12-28

Issue

Vol. 6 No. 1 (2018): Journal of Science, Engineering and Technology

Section

Articles

License

Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.

This is an open access article distributed in accordance with the Creative Commons Attribution 4.0 Unported (CC BY 4.0) license, which permits others to copy, redistribute, remix, transform and build upon this work for any purpose, provided the original work is properly cited, a link to the license is given, and indication of whether changes were made. See: Creative Commons Attributions 4.0 International License.

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