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A Continuous Time Model for Bitcoin Price Dynamics

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Mathematical and Statistical Methods for Actuarial Sciences and Finance

Abstract

This chapter illustrates a continuous time model for the dynamics of Bitcoin price, which depends on an attention or sentiment factor. The model is proven arbitrage-free under mild conditions and a quasi-closed pricing formula for European style derivatives is provided.

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References

  1. Bukovina, J., Marticek, M.: Sentiment and bitcoin volatility. Technical report, Mendel University in Brno, Faculty of Business and Economics (2016)

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  3. Kristoufek, L.: What are the main drivers of the bitcoin price? Evidence from wavelet coherence analysis. PLoS One 10(4) (2015)

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  5. Yermack, D.: Is Bitcoin a real currency? An Economic appraisal. In: Handbook of Digital Currency, pp. 31–43. Elsevier, New York (2015)

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Author information

Authors and Affiliations

  1. Department of Mathematics and Computer Science, University of Perugia, Perugia, Italy

    Alessandra Cretarola

  2. Department of Economics, University of Perugia, Perugia, Italy

    Gianna Figà-Talamanca & Marco Patacca

Authors
  1. Alessandra Cretarola
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  2. Gianna Figà-Talamanca
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  3. Marco Patacca
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Corresponding author

Correspondence to Gianna Figà-Talamanca .

Editor information

Editors and Affiliations

  1. Dept. of Economics, Ca’ Foscari University of Venice, Venezia, Italy

    Marco Corazza

  2. Dept. of Statistics, Universidad Carlos III de Madrid, Getafe, Madrid, Spain

    María Durbán

  3. Dept. of Statistics, Universidad Carlos III de Madrid, Getafe, Madrid, Spain

    Aurea Grané

  4. Dept. of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Cira Perna

  5. Dept. of Economics and Statistics, University of Salerno, Fisciano, Salerno, Italy

    Marilena Sibillo

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Cretarola, A., Figà-Talamanca, G., Patacca, M. (2018). A Continuous Time Model for Bitcoin Price Dynamics. In: Corazza, M., Durbán, M., Grané, A., Perna, C., Sibillo, M. (eds) Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-89824-7_49

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