Fractional spectral integral methods for valuing cryptocurrency asset
flow fractional differential equations.
- Claude Moutsinga
, - Edson Pindza,
- Eben Mare
Abstract
Since its inception in 2009, the cryptocurrency market has grown
considerably. Several authors have proposed models to explain the price
movements of assets in this new emerging market. However, only few
researches have been done using the dynamical approach. This paper
proposes a robust time fractional spectral method for studying a three
dimensional fractional differential equation that models cryptocurrency
asset flow obtained by utilizing the concept of liquidity price. The
method relies on fractional spectral integration matrix operator
approach. Numerical simulations are conducted to show efficiency of the
numerical method on the fractional cryptocurrency model compared to
existing methods.