Related papers: On Bitcoin Price Prediction
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…
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.…
We present positive evidence of price stability of cryptocurrencies as a medium of exchange. For the sample years from 2016 to 2020, the prices of major cryptocurrencies are found to be stable, relative to major financial assets.…
Cryptocurrencies have recently experienced a new wave of price volatility and interest; activity within social media communities relating to cryptocurrencies has increased significantly. There is currently limited documented knowledge of…
This study proposes a hybrid deep learning model for forecasting the price of Bitcoin, as the digital currency is known to exhibit frequent fluctuations. The models used are the Variational Mode Decomposition (VMD) and the Long Short-Term…
Bitcoin is the first implementation of what has become known as a 'public permissionless' blockchain. Guaranteeing security and protocol conformity through its elegant combination of cryptographic assurances and game theoretic economic…
Bitcoin is a cryptocurrency that features a distributed, decentralized and trustworthy mechanism, which has made Bitcoin a popular global transaction platform. The transaction efficiency among nations and the privacy benefiting from address…
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…
This work is organized as follows. In the first section we review the prior work and we have obtained our data. Next, we will look at address reuse in the Bitcoin network. We show that a great portion of users reuse their addresses which…
This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time…
We analyze the first and second moment risk premia in the Bitcoin market based on options and realized returns and contrast them to the premia embedded in the main US stock index market. First, Bitcoin is much more volatile and has a higher…
The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of a cryptocurrency market as an environment for realization of a…
We test various volatility models using the Bitcoin spot price series. Our models include HIST, EMA ARCH, GARCH, and EGARCH, models. Both of our in-sample-fit and out-of-sample-forecast results suggest that GARCH and EGARCH models perform…
Social media signals have been successfully used to develop large-scale predictive and anticipatory analytics. For example, forecasting stock market prices and influenza outbreaks. Recently, social data has been explored to forecast price…
The paper constructs a multi-variate Hawkes process model of Bitcoin block arrivals and price jumps. Hawkes processes are selfexciting point processes that can capture the self- and cross-excitation effects of block mining and Bitcoin price…
Financial time series have historically been assumed to be a martingale process under the Random Walk hypothesis. Instead of making investment decisions using the raw prices alone, various multimodal pattern matching algorithms have been…
This paper is the first of a series of short articles that explore the efficiency of major cryptocurrency markets. A number of statistical tests and properties of statistical distributions will be used to assess if cryptocurrency markets…
Bitcoin demonstrated the possibility of a financial ledger that operates without the need for a trusted central authority. However, concerns persist regarding its security and considerable energy consumption. We assess the consensus…
Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by…
Bitcoin is a peer-to-peer electronic payment system that has rapidly grown in popularity in recent years. Usually, the complete history of Bitcoin blockchain data must be queried to acquire variables with economic meaning. This task has…