# Bitcoin dynamics - C++ Simulation

I would like perform a simulation of Bitcoin future prices given a sample of the 4 past years (2014-2018). My problem is that I do not know what model to use! For common stocks I used the geometric Brownian motion dynamics which I implemented in C++, but I am not sure if this model also applies for assets like Bitcoin. Does anybody know how to model this kind of asset and how to implement it in C++ ?

Every contribution highly appreciated! Thank in advance!

• Every model is wrong, as it's just a simplified representation of a complex system. Even Heston model could be too simple for describing the behavior of an asset with such fat tails and jumps, even moving to Poisson jumps wouldn't help that much. My two cents: as you have historical data and are working under physical measure, use Filtered Historical Simulation by using a proper GARCH model. – Lisa Ann Apr 22 '19 at 10:50

• For a start, you can just plot the changes in the price $S_t - S_{t-1}$ against the price $S_{t-1}$. You will get a scatter plot, but see if there is any trend in the points, e.g., more variation at higher price. – Magic is in the chain Apr 24 '19 at 21:54