Related papers: The Satoshi Overhang: Why the Bear Case is Bounded
On February 2014, $650.000.000 worth of Bitcoins disappeared. Currently it is unclear whether hackers or MtGox, the largest Bitcoin exchange, are to be blamed. In either case, the anonymous and unregulated nature of the Bitcoin system makes…
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…
The cryptocurrency market presents both significant investment opportunities and higher risks relative to traditional financial assets. This study examines the tail behavior of daily returns for two leading cryptocurrencies, Bitcoin and…
Bitcoin is a digital currency and electronic payment system operating over a peer-to-peer network on the Internet. One of its most important properties is the high level of anonymity it provides for its users. The users are identified by…
This paper investigates whether Bitcoin can be regarded as a decentralized autonomous organization (DAO), what insights it may offer for the broader DAO ecosystem, and how Bitcoin governance can be improved. First, a quantitative literature…
Bitcoin is the most popular cryptocurrency used worldwide. It provides pseudonymity to its users by establishing identity using public keys as transaction end-points. These transactions are recorded on an immutable public ledger called…
We study selfish mining attacks in longest-chain blockchains like Bitcoin, but where the proof of work is replaced with efficient proof systems -- like proofs of stake or proofs of space -- and consider the problem of computing an optimal…
Using the generalized extreme value theory to characterize tail distributions, we address liquidation, leverage, and optimal margins for bitcoin long and short futures positions. The empirical analysis of perpetual bitcoin futures on BitMEX…
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…
Bitcoin was recently introduced as a peer-to-peer electronic currency in order to facilitate transactions outside the traditional financial system. The core of Bitcoin, the Blockchain, is the history of the transactions in the system…
Miners play a key role in cryptocurrencies such as Bitcoin: they invest substantial computational resources in processing transactions and minting new currency units. It is well known that an attacker controlling more than half of the…
The digital currency Bitcoin has had remarkable growth since it was first proposed in 2008. Its distributed nature allows currency transactions without a central authority by using cryptographic methods and a data structure called the…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
Cryptographic Self-Selection is a common primitive underlying leader-selection for Proof-of-Stake blockchain protocols. The concept was first popularized in Algorand [CM19], who also observed that the protocol might be manipulable. [FHWY22]…
The mining of bitcoin is modeled using system dynamics, showing that the past evolution of the network hash rate can be explained to a large extent by an efficient market hypothesis applied to the mining of blocks. The possibility of a…
We document stable cross-asset patterns in cryptocurrency limit-order-book microstructure: the same engineered order book and trade features exhibit remarkably similar predictive importance and SHAP dependence shapes across assets spanning…
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…
The third Bitcoin halving that took place in May 2020 cut down the mining reward from 12.5 to 6.25 BTC per block and thus slowed down the rate of issuance of new Bitcoins, making it more scarce. The fourth and most recent halving happened…
The Bitcoin protocol allows to save arbitrary data on the blockchain through a special instruction of the scripting language, called OP_RETURN. A growing number of protocols exploit this feature to extend the range of applications of the…
The Bitcoin protocol is a significant milestone in the history of money. However, its adoption is currently constrained by the transaction limits of the system. As the chief problem of blockchain technology, the scaling issue has attracted…