Modeling the volatity of cryptocurrency markets

Abstract

The application of the model of geometric Brownian motion (GBM) for the problem of modeling and forecasting prices for cryptocurrencies is analyzed. For prediction the solution of the stochastic differential equation of the GBM model is used, which has a linear drift and diffusion coefficients. Different scenarios of price movement are considered.
 Keywords: geometric Brownian motion (GBM), modeling, forecasting, cryptocurrency.