A Stochastic Analysis of the Effect of Trading Parameters on the Stability of the Financial Markets Using a Bayesian Approach

Primer Autor
Rubilar-Torrealba, Rolando
Co-autores
Chahuan-Jimenez, Karime
de la Fuente-Mella, Hanns
Título
A Stochastic Analysis of the Effect of Trading Parameters on the Stability of the Financial Markets Using a Bayesian Approach
Editorial
MDPI
Revista
MATHEMATICS
Lenguaje
en
Resumen
The purpose of this study was to identify and measure the impact of the different effects of entropy states over the high-frequency trade of the cryptocurrency market, especially in Bitcoin, using and selecting optimal parameters of the Bayesian approach, specifically through approximate Bayesian computation (ABC). ABC corresponds to a class of computational methods rooted in Bayesian statistics that could be used to estimate the posterior distributions of model parameters. For this research, ABC was applied to estimate the daily prices of the Bitcoin cryptocurrency from May 2013 to December 2021. The findings suggest that the behaviour of the parameters for our tested trading algorithms, in which sudden jumps are observed, can be interpreted as changes in states of the generated time series. Additionally, it is possible to identify and model the effects of the COVID-19 pandemic on the series analysed in the research. Finally, the main contribution of this research is that we have characterised the relationship between entropy and the evolution of parameters defining the optimal selection of trading algorithms in the financial industry.
Fecha Publicación
2023
Tipo de Recurso
artículo original
doi
10.3390/math11112527
Formato Recurso
PDF
Palabras Claves
cryptocurrencies
econometric models
stochastic processes
Bayesian analysis
market efficiency
entropy
Ubicación del archivo
http://dx.doi.org/10.3390/math11112527
Categoría OCDE
Matemáticas
Materias
CRIPTOMONEDAS
modelos econométricos
procesos estocásticos
análisis bayesiano
la eficiencia del mercado
entropía
Identificador del recurso (Mandatado-único)
artículo original
Versión del recurso (Recomendado-único)
versión publicada
License
CC BY 4.0
Condición de la licencia (Recomendado-repetible)
CC BY 4.0
Derechos de acceso
acceso abierto
Access Rights
acceso abierto
Id de Web of Science
WOS:001005049500001
Tipo de ruta
verde# dorado
Categoría WOS
Matemáticas
Referencia del Financiador (Mandatado si es aplicable-repetible)
PUCV VRIEA PUCV 039.432/2020
Colecciones
Colección Publicaciones Científicas
Colección ANID
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