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This study explores Bitcoin's value formation through the Granular Interaction Thinking Theory-Value Theory (GITT-VT). Rather than stemming from material utility or cash flows, Bitcoin's value arises from informational attributes and…
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…
During times of extreme market turmoil, it is acknowledged that there is a tendency towards "flight to safety". A strong (weak) safe haven is defined as an asset that has a significant positive (negative) return in periods where another…
Transaction fee prediction in Bitcoin's ecosystem represents a crucial challenge affecting both user costs and miner revenue optimization. This study presents a systematic evaluation of six predictive models for forecasting Bitcoin…
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…
We argue that the current POW based consensus algorithm of the Bitcoin network suffers from a fundamental economic discrepancy between the real world transaction (txn) costs incurred by miners and the wealth that is being transacted. Put…
Reducing financial risk is of paramount importance to investors, financial institutions, and corporations. Since the pioneering contribution of Johnson (1960), the optimal hedge ratio based on futures is regularly utilized. The current…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
The emerging cryptocurrency market has lately received great attention for asset allocation due to its decentralization uniqueness. However, its volatility and brand new trading mode have made it challenging to devising an acceptable…
Few assets in financial history have been as notoriously volatile as cryptocurrencies. While the long term outlook for this asset class remains unclear, we are successful in making short term price predictions for several major crypto…
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…
In this paper, we analyze the time-series of minute price returns on the Bitcoin market through the statistical models of generalized autoregressive conditional heteroskedasticity (GARCH) family. Several mathematical models have been…
Attempts to accurately measure the monetary velocity or related properties of bitcoin used in transactions have often attempted to either directly apply definitions from traditional macroeconomic theory or to use specialized metrics…
Bitcoin mining presents a significant economic incentive for efficient hashing and broadcast of data, both parameters stemming from the Proofs of Work used to advance the network. This incentive has led to the development of Bitcoin…
A proof of the security of the Bitcoin protocol is made rigorous, and simplified in certain parts. A computational model in which an adversary can delay transmission of blocks by time $\Delta$ is considered. The protocol is generalized to…
Proof-of-Work (PoW) is a popular consensus protocol used by Bitcoin since its inception. PoW has the well-known flaw of assigning all the reward to the single miner (or pool) that inserts the new block. This has the consequence of making…
In this paper we apply neural networks and Artificial Intelligence (AI) to historical records of high-risk cryptocurrency coins to train a prediction model that guesses their price. This paper's code contains Jupyter notebooks, one of which…
Bitcoin uses blockchain technology to maintain transactions order and provides probabilistic guarantee to prevent double-spending, assuming that an attacker's computational power does not exceed %50 of the network power. In this paper, we…
We study an adversary who attacks a Proof-of-Work (POW) blockchain by selfishly constructing an alternative longest chain. We characterize optimal strategies employed by the adversary when a difficulty adjustment rule al\`a Bitcoin applies.…
This paper presents a stochastic model for block arrival times based on the difficulty retargeting rule used in Bitcoin, as well as other proof-of-work blockchains. Unlike some previous work, this paper explicitly models the difficulty…