{"title":"Modeling Bitcoin Price Dynamics: Overcoming Kurtosis and Skewness Challenges for Enhanced Predictive Accuracy","authors":"Mostafa Tamandi","doi":"10.1007/s10614-024-10652-y","DOIUrl":null,"url":null,"abstract":"<p>In recent years, the surge of unofficial digital currencies, often referred to as cryptocurrencies, has disrupted traditional financial landscapes. Bitcoin, being the most prominent among them in terms of market adoption and capitalization, presents unique modeling challenges. This study delves into the application of an autoregressive model of order one, incorporating a skew-normal mean-variance mixture of Birnbaum–Saunders innovations, to better capture the dynamic behavior of Bitcoin prices. The model’s robustness to atypical observations and its effectiveness in handling the inherent price volatility associated with Bitcoin make it a promising tool for financial analysis and prediction in this novel asset class.</p>","PeriodicalId":50647,"journal":{"name":"Computational Economics","volume":null,"pages":null},"PeriodicalIF":1.9000,"publicationDate":"2024-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Computational Economics","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1007/s10614-024-10652-y","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
In recent years, the surge of unofficial digital currencies, often referred to as cryptocurrencies, has disrupted traditional financial landscapes. Bitcoin, being the most prominent among them in terms of market adoption and capitalization, presents unique modeling challenges. This study delves into the application of an autoregressive model of order one, incorporating a skew-normal mean-variance mixture of Birnbaum–Saunders innovations, to better capture the dynamic behavior of Bitcoin prices. The model’s robustness to atypical observations and its effectiveness in handling the inherent price volatility associated with Bitcoin make it a promising tool for financial analysis and prediction in this novel asset class.
期刊介绍：
Computational Economics, the official journal of the Society for Computational Economics, presents new research in a rapidly growing multidisciplinary field that uses advanced computing capabilities to understand and solve complex problems from all branches in economics. The topics of Computational Economics include computational methods in econometrics like filtering, bayesian and non-parametric approaches, markov processes and monte carlo simulation; agent based methods, machine learning, evolutionary algorithms, (neural) network modeling; computational aspects of dynamic systems, optimization, optimal control, games, equilibrium modeling; hardware and software developments, modeling languages, interfaces, symbolic processing, distributed and parallel processing
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