{"title":"Modelling the Bitcoin prices and media attention to Bitcoin via the jump-type processes","authors":"Ekaterina Morozova, Vladimir Panov","doi":"10.1002/asmb.2798","DOIUrl":null,"url":null,"abstract":"<p>In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy processes and is able to realistically reproduce the jump-type dynamics of the considered time series. We focus on the low-frequency setup, which is for the Lévy-based models essentially more difficult than the high-frequency case. We design a semiparametric estimation procedure for the statistical inference on the parameters and the Lévy measures of the considered processes. We show that the dynamics of the market attention can be effectively modelled by the Lévy processes with finite Lévy measures, and propose a data-driven procedure for the description of the Bitcoin prices.</p>","PeriodicalId":55495,"journal":{"name":"Applied Stochastic Models in Business and Industry","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2023-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Stochastic Models in Business and Industry","FirstCategoryId":"100","ListUrlMain":"https://onlinelibrary.wiley.com/doi/10.1002/asmb.2798","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
引用次数: 0
Abstract
In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy processes and is able to realistically reproduce the jump-type dynamics of the considered time series. We focus on the low-frequency setup, which is for the Lévy-based models essentially more difficult than the high-frequency case. We design a semiparametric estimation procedure for the statistical inference on the parameters and the Lévy measures of the considered processes. We show that the dynamics of the market attention can be effectively modelled by the Lévy processes with finite Lévy measures, and propose a data-driven procedure for the description of the Bitcoin prices.
期刊介绍：
ASMBI - Applied Stochastic Models in Business and Industry (formerly Applied Stochastic Models and Data Analysis) was first published in 1985, publishing contributions in the interface between stochastic modelling, data analysis and their applications in business, finance, insurance, management and production. In 2007 ASMBI became the official journal of the International Society for Business and Industrial Statistics (www.isbis.org). The main objective is to publish papers, both technical and practical, presenting new results which solve real-life problems or have great potential in doing so. Mathematical rigour, innovative stochastic modelling and sound applications are the key ingredients of papers to be published, after a very selective review process.
The journal is very open to new ideas, like Data Science and Big Data stemming from problems in business and industry or uncertainty quantification in engineering, as well as more traditional ones, like reliability, quality control, design of experiments, managerial processes, supply chains and inventories, insurance, econometrics, financial modelling (provided the papers are related to real problems). The journal is interested also in papers addressing the effects of business and industrial decisions on the environment, healthcare, social life. State-of-the art computational methods are very welcome as well, when combined with sound applications and innovative models.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
