{"title":"通过路径依赖蒙特卡洛模拟预测加密货币价格","authors":"Ayush Singh, Anshu K. Jha, Amit N. Kumar","doi":"arxiv-2405.12988","DOIUrl":null,"url":null,"abstract":"In this paper, our focus lies on the Merton's jump diffusion model, employing\njump processes characterized by the compound Poisson process. Our primary\nobjective is to forecast the drift and volatility of the model using a variety\nof methodologies. We adopt an approach that involves implementing different\ndrift, volatility, and jump terms within the model through various machine\nlearning techniques, traditional methods, and statistical methods on\nprice-volume data. Additionally, we introduce a path-dependent Monte Carlo\nsimulation to model cryptocurrency prices, taking into account the volatility\nand unexpected jumps in prices.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"31 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation\",\"authors\":\"Ayush Singh, Anshu K. Jha, Amit N. Kumar\",\"doi\":\"arxiv-2405.12988\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, our focus lies on the Merton's jump diffusion model, employing\\njump processes characterized by the compound Poisson process. Our primary\\nobjective is to forecast the drift and volatility of the model using a variety\\nof methodologies. We adopt an approach that involves implementing different\\ndrift, volatility, and jump terms within the model through various machine\\nlearning techniques, traditional methods, and statistical methods on\\nprice-volume data. Additionally, we introduce a path-dependent Monte Carlo\\nsimulation to model cryptocurrency prices, taking into account the volatility\\nand unexpected jumps in prices.\",\"PeriodicalId\":501139,\"journal\":{\"name\":\"arXiv - QuantFin - Statistical Finance\",\"volume\":\"31 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-04-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Statistical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2405.12988\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2405.12988","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Prediction of Cryptocurrency Prices through a Path Dependent Monte Carlo Simulation
In this paper, our focus lies on the Merton's jump diffusion model, employing
jump processes characterized by the compound Poisson process. Our primary
objective is to forecast the drift and volatility of the model using a variety
of methodologies. We adopt an approach that involves implementing different
drift, volatility, and jump terms within the model through various machine
learning techniques, traditional methods, and statistical methods on
price-volume data. Additionally, we introduce a path-dependent Monte Carlo
simulation to model cryptocurrency prices, taking into account the volatility
and unexpected jumps in prices.