Related papers: What drives bitcoin? An approach from continuous l…
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market…
Bitcoin is the first and highest valued cryptocurrency that stores transactions in a publicly distributed ledger called the blockchain. Understanding the activity and behavior of Bitcoin actors is a crucial research topic as they are…
Bitcoin is considered the most valuable currency in the world. Besides being highly valuable, its value has also experienced a steep increase, from around 1 dollar in 2010 to around 18000 in 2017. Then, in recent years, it has attracted…
Recent empirical evidence has highlighted the crucial role of jumps in both price and volatility within the cryptocurrency market. In this paper, we integrate price--volatility co-jumps and volatility short-term dependency into a coherent…
In recent years cryptocurrency trading has captured the attention of practitioners and academics. The volume of the exchange with standard currencies has known a dramatic increasing of late. This paper addresses to the need of models…
Bitcoin has been subject to illicit activities more often than probably any other financial assets, due to the pseudo-anonymous nature of its transacting entities. An ideal detection model is expected to achieve all the three properties of…
We construct the Bitcoin User Network (BUN) directly from raw blockchain data up to late 2025, which allows us to explore its mesoscopic properties and trace its temporal evolution. In particular, we analyze the structure of connected…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first…
With emergence of blockchain technologies and the associated cryptocurrencies, such as Bitcoin, understanding network dynamics behind Blockchain graphs has become a rapidly evolving research direction. Unlike other financial networks, such…
We propose a doubly subordinated Levy process, NDIG, to model the time series properties of the cryptocurrency bitcoin. NDIG captures the skew and fat-tailed properties of bitcoin prices and gives rise to an arbitrage free, option pricing…
Financial markets are difficult to predict due to its complex systems dynamics. Although there have been some recent studies that use machine learning techniques for financial markets prediction, they do not offer satisfactory performance…
Bitcoin price forecasting is characterized by extreme volatility and non-stationarity, often defying traditional univariate time-series models over long horizons. This paper addresses a critical gap by integrating Global M2 Liquidity,…
This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an…
The problem of anomaly detection has been studied for a long time. In short, anomalies are abnormal or unlikely things. In financial networks, thieves and illegal activities are often anomalous in nature. Members of a network want to detect…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
Bitcoin is one of the decentralized cryptocurrencies powered by a peer-to-peer blockchain network. Parties who trade in the bitcoin network are not required to disclose any personal information. Such property of anonymity, however,…
This research aims to identify how Bitcoin-related news publications and online discourse are expressed in Bitcoin exchange movements of price and volume. Being inherently digital, all Bitcoin-related fundamental data (from exchanges, as…
This paper proposes a classification model for predicting the main activity of bitcoin addresses based on their balances. Since the balances are functions of time, we apply methods from functional data analysis; more specifically, the…
Over 900 million Bitcoin transactions have been recorded, posing considerable challenges for machine learning in terms of computation time and maintaining prediction accuracy. We propose an innovative approach using quantum-inspired…