Modeling of Short-term Changes in Bitcoin Prices Using a Version of the Poisson Process

Student: Kudi Konstantin

Supervisor: Dmitry V. Levando

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2018

This paper demonstrates the application of the Hawkes’ process into cryptocurrency market. The Hawkes’ model with exponential kernel is used to explain volatility of ten minutes trades, which influence on bitcoin’s price. This model had been compared with the ordinary ARMA model. And the first model showed the better results.

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