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Developing a stochastic model for medium-term forecasting of cryptocurrency exchange rate: The bitcoin case

Vol. 24, Iss. 5, MAY 2018

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Received: 20 April 2018

Received in revised form: 4 May 2018

Accepted: 18 May 2018

Available online: 29 May 2018


JEL Classification: F47, F63, G17

Pages: 1046-1060

Safiullin M.R. Kazan (Volga Region) Federal University, Kazan, Republic of Tatarstan, Russian Federation

El'shin L.A. University of Management TISBI, Kazan, Zelenodolsk, Republic of Tatarstan, Russian Federation

Abdukaeva A.A. Center of Advanced Economic Research in the Academy of Sciences of the Republic of Tatarstan, Kazan, Republic of Tatarstan, Russian Federation

Importance The article considers the process of economic and mathematical modeling of time series characterizing the volatility of bitcoin exchange rate on the basis of autoregressive moving average models.
Objectives The purpose of the work is to provide a scientific rationale for tools and mechanisms to forecast the cryptocurrency market development.
Methods The study rests on tools of stochastic analysis of stationary and non-stationary time series characterizing the volatility in the global cryptocurrency market.
Results We prove that ARIMA models enable to predict current and future adjustments of cryptocurrency exchange rates with a high level of accuracy.
Conclusions and Relevance We found that by the end of the third quarter of 2018, the bitcoin market value will be about 11,000 USD. The methodological approaches of modeling help define future trends and fluctuations of exchange rates over the entire forecast period. The findings are of practical interest for both the public authorities and representatives of business community.

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


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