Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates

Chapter
Part of the Studies in Computational Intelligence book series (SCI, volume 583)

Abstract

This paper introduces a noncausal autoregressive process with Cauchy errors in application to the exchange rates of the Bitcoin electronic currency against the US Dollar. The dynamics of the daily Bitcoin/USD exchange rate series displays episodes of local trends, which can be modelled and interpreted as speculative bubbles. The bubbles may result from the speculative component in the on-line trading. The Bitcoin/USD exchange rates are modelled and predicted.

JEL number:

C14 G32 G23 

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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.York University, Department of EconomicsTorontoCanada
  2. 2.University of Toronto and CRESTTorontoCanada

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