The IUP Journal of Applied Economics
Research Note
Bitcoin Price Forecasting with Monte Carlo Simulations: Financial Stress Versus Market Attention

Article Details
Pub. Date : July, 2023
Product Name : The IUP Journal of Applied Economics
Product Type : Article
Product Code : IJAE040723
Author Name : Souha Boutouria
Availability : YES
Subject/Domain : Economics
Download Format : PDF Format
No. of Pages : 10



The cryptocurrency market has attracted significant attention from academics, investors, and regulators due to its unique characteristics. Research has shown that the prices and returns associated with cryptocurrency markets are volatile and unpredictable. As such, forecasting the future prices of cryptocurrencies is of critical importance to investors (Nakamoto (2008). Two common methods used to forecast cryptocurrency prices are technical analysis and fundamental analysis. Stochastic models are widely used in economics and finance to model financial time series data such as stock returns, exchange rates, and market indices.


These models can be used to reproduce the possible future prices observed in the market and to discover future prices for a long horizon. Several studies have developed econometric methods to model the dynamics of cryptocurrency. For example, Seasholes and Wu (2007) and Bandi and Reno (2016) highlighted the importance of considering jumps when modeling bitcoin prices.