Dynamics of cryptocurrency time-series generation as a fragmentation stochastic process

Authors

  • Jeruine Rei Doon ⋅ PH National Institute of Physics, University of the Philippines Diliman
  • Reinier Xander Ramos ⋅ PH National Institute of Physics, University of the Philippines Diliman
  • Johnrob Bantang ⋅ PH National Institute of Physics, University of the Philippines Diliman

Abstract

The changes in the price of Bitcoin (BTC) is a stochastic process similar to the foreign exchange market values. In this paper, we suppose that the BTC price is a ratio of two currencies with market values that move in a stochastic fashion. Ratios of two random numbers resulting from stochastic processes can be modelled using a fragmentation model. We use the fragmentation model to identify the dynamical causes of the resulting probability distributions of the magnitude of change in price exhibited a power-law tail and roll-over regime. Consequently, it was found out that if the rate of generation U is described by a gamma function, then it must have a shape parameter k = 1. Moreover, if the degree of generation $V$ is described by another gamma function, then it has a shape parameter k = 3.5.

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Article ID

SPP-2024-3E-02

Section

Complex Systems and Data Analytics

Published

2024-06-28

How to Cite

[1]
JR Doon, RX Ramos, and J Bantang, Dynamics of cryptocurrency time-series generation as a fragmentation stochastic process, Proceedings of the Samahang Pisika ng Pilipinas 42, SPP-2024-3E-02 (2024). URL: https://proceedings.spp-online.org/article/view/SPP-2024-3E-02.