Related papers: Relevant Stylized Facts About Bitcoin: Fluctuation…
The aim of this paper is to analyse the Bitcoin in order to shed some light on its nature and behaviour. We select 9 cryptocurrencies that account for almost 75\% of total market capitalisation and compare their evolution with that of a…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…
We organize existing empirical regularities of cryptocurrencies into seven stylized facts and analyze cryptocurrencies through the lens of empirical asset pricing. We find important similarities with traditional markets--risk-adjusted…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
Bitcoin is the first and undoubtedly most successful cryptocurrecny to date with a market capitalization of more than 100 billion dollars. Today, Bitcoin has more than 100,000 supporting merchants and more than 3 million active users.…
In recent years a new type of tradable assets appeared, generically known as cryptocurrencies. Among them, the most widespread is Bitcoin. Given its novelty, this paper investigates some statistical properties of the Bitcoin market. This…
Using the asymmetric stochastic volatility model, this study investigates the day-of-the-week and holiday effects on the returns and volatility of Bitcoin from January 1, 2013 to August 31, 2019; in this context, we also discuss the…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Bitcoins have emerged as a possible competitor to usual currencies, but other crypto-currencies have likewise appeared as competitors to the Bitcoin currency. The expanding market of crypto-currencies now involves capital equivalent to…
Blockchain has been considered as an important technique to enable secure management of virtual network functions and network slices. To understand such capabilities of a blockchain, e.g. transaction confirmation time, demands a thorough…
We show that the behaviour of Bitcoin has interesting similarities to stock and precious metal markets, such as gold and silver. We report that whilst Litecoin, the second largest cryptocurrency, closely follows Bitcoin's behaviour, it does…
Digital payment schemes show an ever increasing importance. Out of the countless different schemes available this article focuses on the popular Bitcoin system. The authors provide a description of Bitcoin's unique technological basis and…
This discussion applies quantitative finance methods and economic arguments to cryptocurrencies in general and bitcoin in particular -- as there are about $10,000$ cryptocurrencies, we focus (unless otherwise specified) on the most…
This research paper presents a thorough economic analysis of Bitcoin and its impact. We delve into fundamental principles, and technological evolution into a prominent decentralized digital currency. Analysing Bitcoin's economic dynamics,…
Bitcoin is a digital currency and payment system based on classical cryptographic technologies which works without a central administrator such as in traditional currencies. It has long been questioned what the impact of quantum computing…
Bitcoin is the world's first decentralized digital currency. Its main technical innovation is the use of a blockchain and hash-based proof of work to synchronize transactions and prevent double-spending the currency. While the qualitative…
In this paper, we explore some stylized facts of the Bitcoin market using the BTC-USD exchange rate time series of historical intraday data from 2013 to 2020. Bitcoin presents some very peculiar idiosyncrasies, like the absence of…
The bitcoin price has surged in recent years and it has also exhibited phases of rapid decay. In this paper we address the question to what extent this novel cryptocurrency market can be viewed as a classic or semi-efficient market. Novel…
While relevant stylized facts are observed for Bitcoin markets, we find a distinct property for the scaling behavior of the cumulative return distribution. For various assets, the tail index $\mu$ of the cumulative return distribution…
Bitcoin is a "crypto currency", a decentralized electronic payment scheme based on cryptography which has recently gained excessive popularity. Scientific research on bitcoin is less abundant. A paper at Financial Cryptography 2012…