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Stochastic models with power-law trends: An analysis of Bitcoin price dynamics

Bomfim, Alex et al.
arXiv (All) · Papers
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62f1262m2065c0591g15methodology
Empirical studies have identified power-law scaling and long-memory dynamics in Bitcoin prices. To capture these features, we propose stochastic differential equations (SDEs) with a power-law trend (PLT) for modeling long-term price behavior. As a starting point, we introduce a PLT driven by a Wiene
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