Abstract
The article presents the study results of cryptocurrencies dynamics, which are the most popular at the present time (Bitcoin, Ethereum and Ripple). The paper provides the opinions of various researchers regarding the economic nature of cryptocurrencies. Taking into account that the most significant drawback of modern cryptocurrencies is the high volatility of their market prices, the goal was to find an adequate method for forecasting cryptocurrency rates. Having analyzed an extensive selection of scientific articles on this topic and tested the cryptocurrency market for its information efficiency. The heterogeneous autoregressive model of realized volatility (HAR-RV) was first chosen as a working tool for predicting the rate of cryptocurrencies. To improve the accuracy of the forecast, it was additionally proposed to calculate the Shannon entropy based on the probabilities of a decrease in cryptocurrency market prices. The forecast accuracy by the proposed method exceeded all the most optimistic expectations. This method of calculating the market rate of cryptocurrencies will be useful to investors and speculators when making management decisions.
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Ming, L., Charaeva, M.V., Evstafyeva, E.M., Ivanchenko, I.S. (2022). Modeling the Dynamics of the Value of Digital Financial Assets Using the Example of Bitcoin, Ethereum and Ripple. In: Antipova, T. (eds) Comprehensible Science. ICCS 2021. Lecture Notes in Networks and Systems, vol 315. Springer, Cham. https://doi.org/10.1007/978-3-030-85799-8_5
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DOI: https://doi.org/10.1007/978-3-030-85799-8_5
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