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Comparison of Deterministic, Stochastic, and Mixed Approaches to Cryptocurrency Dynamics Analysis

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Computational Science and Its Applications – ICCSA 2021 (ICCSA 2021)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 12952))

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Abstract

Two approaches are most frequently used to predict the development of cryptocurrency market: deterministic and stochastic. The deterministic approach seeks to explain the development of cryptocurrencies through the relationship of several indicators. A stochastic approach (such as ARIMA) seeks to optimize the parameters of a statistical model. This article aims to compare approaches to the assessing cryptocurrencies development using the number of active Bitcoin and Ethereum wallets. For this purpose, a deterministic model based on the Verhulst equation, and a stochastic model based on ARIMA was formulated. The results show that the usage of relative differences wins over absolute ones. At the same time, the predictive value of a purely deterministic model on short segments is not very high, but it has the advantage in analytical form. Further will focus on the combination of a deterministic Bass-type model and statistical methods with stochastic analysis tools.

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Author information

Authors and Affiliations

  1. Federal State Budgetary Educational Institution of Higher Education, Saint-Petersburg State University, 7-9 Universitetskaya Emb., St Petersburg, 199034, Russia

    Victor Dostov, Pavel Pimenov & Pavel Shoust

  2. Russian Electronic Money and Remittance Association, 5/2 Orlikov per, Moscow, 107078, Russia

    Victor Dostov, Pavel Pimenov & Pavel Shoust

Authors
  1. Victor Dostov
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  2. Pavel Pimenov
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  3. Pavel Shoust
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Corresponding author

Correspondence to Victor Dostov .

Editor information

Editors and Affiliations

  1. University of Perugia, Perugia, Italy

    Osvaldo Gervasi

  2. University of Basilicata, Potenza, Potenza, Italy

    Beniamino Murgante

  3. Covenant University, Ota, Nigeria

    Sanjay Misra

  4. University of Cagliari, Cagliari, Italy

    Chiara Garau

  5. University of Cagliari, Cagliari, Italy

    Ivan Blečić

  6. Monash University, Clayton, VIC, Australia

    David Taniar

  7. Kyushu Sangyo University, Fukuoka, Japan

    Bernady O. Apduhan

  8. University of Minho, Braga, Portugal

    Ana Maria A. C. Rocha

  9. Polytechnic University of Bari, Bari, Italy

    Eufemia Tarantino

  10. Polytechnic University of Bari, Bari, Italy

    Carmelo Maria Torre

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Dostov, V., Pimenov, P., Shoust, P. (2021). Comparison of Deterministic, Stochastic, and Mixed Approaches to Cryptocurrency Dynamics Analysis. In: Gervasi, O., et al. Computational Science and Its Applications – ICCSA 2021. ICCSA 2021. Lecture Notes in Computer Science(), vol 12952. Springer, Cham. https://doi.org/10.1007/978-3-030-86973-1_2

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  • DOI: https://doi.org/10.1007/978-3-030-86973-1_2

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-86972-4

  • Online ISBN: 978-3-030-86973-1

  • eBook Packages: Computer ScienceComputer Science (R0)

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