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

• DOI: 10.3390/math11112527
• Publication Date: 2023-06-01T06:12:45Z
• Authors: Rolando Rubilar-T...; Karime Chahuán-Ji...; Hanns de la Fuent...
• Keywords: Approximate Bayesian Computation

The purpose of this study was to identify and measure the impact different effects entropy states over high-frequency trade cryptocurrency market, especially in Bitcoin, using selecting optimal parameters Bayesian approach, specifically through approximate computation (ABC). ABC corresponds a class computational methods rooted statistics that could be used estimate posterior distributions model parameters. For research, applied daily prices Bitcoin from May 2013 December 2021. findings suggest behaviour for our tested trading algorithms, which sudden jumps are observed, can interpreted as changes generated time series. Additionally, it is possible COVID-19 pandemic on series analysed research. Finally, main contribution research we have characterised relationship between evolution defining selection algorithms financial industry.