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Comparison of Deterministic, Stochastic, and Mixed Approaches to Cryptocurrency Dynamics Analysis

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Computational Science and Its Applications – ICCSA 2021 (ICCSA 2021)

Abstract

Two approaches are most frequently used to predict the development of cryptocurrency market: deterministic and stochastic. The deterministic approach seeks to explain the development of cryptocurrencies through the relationship of several indicators. A stochastic approach (such as ARIMA) seeks to optimize the parameters of a statistical model. This article aims to compare approaches to the assessing cryptocurrencies development using the number of active Bitcoin and Ethereum wallets. For this purpose, a deterministic model based on the Verhulst equation, and a stochastic model based on ARIMA was formulated. The results show that the usage of relative differences wins over absolute ones. At the same time, the predictive value of a purely deterministic model on short segments is not very high, but it has the advantage in analytical form. Further will focus on the combination of a deterministic Bass-type model and statistical methods with stochastic analysis tools.

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Dostov, V., Pimenov, P., Shoust, P. (2021). Comparison of Deterministic, Stochastic, and Mixed Approaches to Cryptocurrency Dynamics Analysis. In: Gervasi, O., et al. Computational Science and Its Applications – ICCSA 2021. ICCSA 2021. Lecture Notes in Computer Science(), vol 12952. Springer, Cham. https://doi.org/10.1007/978-3-030-86973-1_2

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  • DOI: https://doi.org/10.1007/978-3-030-86973-1_2

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-86972-4

  • Online ISBN: 978-3-030-86973-1

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