Forecasting Cryptocurrency Investment Return Using Time Series and Monte Carlo Simulation

Abstract

Cryptocurrencies are attracting significant amount of attention. Everything started with Bitcoin and built up to the situation where we have over 1500 cryptocurrencies. One can say that cryptocurrency market is the new stock market. This market is still highly volatile, but decentralized, open, and widely accessible. In this paper we will use time series analysis and Monte Carlo simulation for forecasting cryptocurrencies' return for selected time period. With huge price oscillations present it is hard to provide precise return predictions, but any step towards analysing cryptocurrencies adds to understanding the market.