Repositorio UFRO · Omeka S

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
Versión del recurso (Recomendado-único)	versión publicada
Tipo de ruta	dorada verde
Access Rights	acceso abierto
Derechos de acceso	acceso abierto
Id de Web of Science	WOS:001005049500001
Identificador del recurso (Mandatado-único)	artículo original
License	CC BY 4.0
Condición de la licencia (Recomendado-repetible)	CC BY 4.0
Categoría WOS	Matemáticas
Referencia del Financiador (Mandatado si es aplicable-repetible)	PUCV VRIEA PUCV 039.432/2020