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Information dynamics of price and liquidity around the 2017 Bitcoin markets crash

Vaiva Vasiliauskaite, Fabrizio Lillo, Nino Antulov-Fantulin
2022
We study information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018.  ...  By comparing these empirical findings with several models, we argue that some results could relate to intra-market and inter-market regime shifts and changes in the direction of information flow between  ...  Price dynamics is strongly asymmetric around market crashes and shows a slow (power law) relaxation of volatility. 25 . Order imbalance quantifies the demand of liquidity takers.  ... 
doi:10.1063/5.0080462 pmid:35489840 fatcat:45yfsy2fmjfodk5nhefrmdyb3i

The inefficiency of Bitcoin revisited: A dynamic approach

Aurelio F. Bariviera
2017 Economics Letters  
This letter revisits the informational efficiency of the Bitcoin market.  ...  In particular we analyze the time-varying behavior of long memory of returns on Bitcoin and volatility 2011 until 2017, using the Hurst exponent. Our results are twofold.  ...  Donier and Bouchaud (2015) study different measures of liquidity as early warning signs of bitcoin market crash.  ... 
doi:10.1016/j.econlet.2017.09.013 fatcat:yhlqkoqjrnhjvfuyvde7t6cbyu

Bitcoin in the economics and finance literature: a survey

Parthajit Kayal, Purnima Rohilla
2021 SN Business & Economics  
For the survey to be comprehensive, the paper is categorized into varied themes: price dynamics, volatility, bubble dynamics, mode of recognition in the financial market, efficiency, economics, social  ...  This paper provides a review of the literature on key matters related to the popular cryptocurrency Bitcoin.  ...  The price crash of 2013 hints at the possibility of the presence of bubbles in the Bitcoin market which eventually came down crashing.  ... 
doi:10.1007/s43546-021-00090-5 pmid:34778834 pmcid:PMC8174543 fatcat:6o4jfr2cpbep5owioomolfmihu

Real-time Prediction of Bitcoin Bubble Crashes [article]

Min Shu, Wei Zhu
2019 arXiv   pre-print
In the past decade, Bitcoin as an emerging asset class has gained widespread public attention because of their extraordinary returns in phases of extreme price growth and their unpredictable massive crashes  ...  In order to diagnose the existence of bubbles and accurately predict the bubble crashes in the cryptocurrency market, this study proposes an adaptive multilevel time series detection methodology based  ...  Acknowledgment The authors would like to thank the Stony Brook Research Computing and Cyberinfrastructure, and the Institute for Advanced Computational Science at Stony Brook University for access to the  ... 
arXiv:1905.09647v2 fatcat:lfsyifjkgbbdhdnxrr5mlxrksq

Bitcoin pricing: impact of attractiveness variables

Rodrigo Hakim das Neves
2020 Financial Innovation  
Using the error correction model, the relationship between the price of the virtual currency, Bitcoin, and the number of Google searches that used the terms bitcoin, bitcoin crash and crisis between December  ...  The research seeks to contribute to Bitcoin pricing analysis based on the dynamics between variables of attractiveness and the value of the digital currency.  ...  It is important to highlight that this inefficiency is getting weaker over time since liquidity seems to have a positive effect on the informational efficiency of Bitcoin prices (S Kumar and Ajaz 2019)  ... 
doi:10.1186/s40854-020-00176-3 fatcat:sdwiczrjbzdevhoqf5briqsr2m

Dissection of Bitcoin's Multiscale Bubble History from January 2012 to February 2018 [article]

Jan-Christian Gerlach, Guilherme Demos, Didier Sornette
2019 arXiv   pre-print
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018.  ...  Overall, our predictive scheme provides useful information to warn of an imminent crash risk.  ...  Donier and Bouchaud [9] investigated Bitcoin liquidity based on order book data and, from this, accurately predicted the size of price crashes.  ... 
arXiv:1804.06261v4 fatcat:kz3d3x3duvejdclt232pnwphou

Liquidity of bitcoin – insights from Polish and global markets

Katarzna Włosik
2019 Ruch Prawniczy Ekonomiczny i Socjologiczny  
The main aim of this article is to characterize and compare big and small bitcoin markets in terms of liquidity.  ...  I compare the number of trades and the time between trades on selected bitcoin markets, determine the volume distribution throughout the day and analyse the dynamics of Amihud's illiquidity measure – ILLIQ  ...  It was the time when the biggest boom and the subsequent crash in the history of the bitcoin market could be observed. Then the liquidity increased until mid-November 2018.  ... 
doi:10.14746/rpeis.2019.81.3.11 fatcat:pdoaeb3ex5cgneqg6xtdgdpdgq

Do cryptocurrencies and traditional asset classes influence each other?

Josef Kurka
2019 Finance Research Letters  
In this paper, we study how shocks between the most liquid representatives of the traditional asset classes including commodities, foreign exchange, stocks, financials, and cryptocurrencies are being transmitted  ...  The only exception is gold which receives substantial amount of shocks from cryptocurrency market.  ...  Our results show a large spike in spillovers to gold after a price crash on markets for Bitcoin.  ... 
doi:10.1016/j.frl.2019.04.018 fatcat:jytdcbnxxbgjrj2wxz2cjwouhy

INTER-MARKETS VOLATILITY SPILLOVER IN U.S. BITCOIN AND FINANCIAL MARKETS

Muhammad Owais Qarni, Saqib Gulzar, Syeda Tamkeen Fatima, Majid Jamal Khan, Khurram Shafi
2019 Journal of Business Economics and Management  
This paper investigates the volatility spillover dynamics between U.S. Bitcoin and financial markets from July 19, 2010 to December 29, 2017.  ...  Bitcoin and financial markets. The findings of the study indicate the presence of low level of integration and contagion between U.S. Bitcoin and financial markets.  ...  Author contributions Muhammad Owais Qarni and Saqib Gulzar conceived the idea of the study and Muhammad Owais Qarni worked under the supervision of Saqib Gulzar for design, development of the data analysis  ... 
doi:10.3846/jbem.2019.8316 fatcat:7uabafkvnrblzppouidwpyhyt4

A Survey on Efficiency and Profitable Trading Opportunities in Cryptocurrency Markets

Kyriazis
2019 Journal of Risk and Financial Management  
This study conducts a systematic survey on whether the pricing behavior of cryptocurrencies is predictable. Thus, the Efficient Market Hypothesis is rejected and speculation is feasible via trading.  ...  It is found that the majority of academic papers provides evidence for inefficiency of Bitcoin and other digital currencies of primary importance.  ...  Fama defines informational efficiency in a market as the status when "prices reflect full information" in this market. These are the main forms of informational efficiency most commonly expressed.  ... 
doi:10.3390/jrfm12020067 fatcat:sk7vtco2pfa7hogm2ji5p7ap3u

Herding and feedback trading in cryptocurrency markets

Timothy King, Dimitrios Koutmos
2021 Annals of Operations Research  
This paper examines the extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies.  ...  Using sample price data from bitcoin, ethereum, XRP, bitcoin cash, EOS, litecoin, stellar, cardano and IOTA, respectively, we document heterogeneity in the types of feedback trading strategies investors  ...  Around the end of 2017 and the beginning of 2018, bitcoin reached record price levels.  ... 
doi:10.1007/s10479-020-03874-4 pmid:33462519 pmcid:PMC7805263 fatcat:i4l255yvh5gqhdwpmajp6vwioy

A Critical Analysis of Volatility Surprise in Bitcoin Cryptocurrency and Other Financial Assets

Yianni Doumenis, Javad Izadi, Pradeep Dhamdhere, Epameinondas Katsikas, Dimitrios Koufopoulos
2021 Risks  
This paper also aims to see which macro variable relates more to the price of cryptocurrencies, especially Bitcoin.  ...  ., the price history of Bitcoin from September 2014 to September 2021 for the last seven years, captured from trading exchanges.  ...  Implications of historical price crash What those price crashes show is the market is quite fragile, and there is a huge trust deficit as there is no central authority that guarantees the settlement of  ... 
doi:10.3390/risks9110207 fatcat:7uslk6alkja45lx6byynf7p42u

Bitcoin economic behavior analysis and policy implications by leveraging deep learning and high-frequency data

Vasilis Siakoulis, Anastasios Petropoulos, Panagiotis Lazaris
2021 International Journal of Data Science and Big Data Analytics  
Abstract The recent surge in Bitcoin price performance has attracted significant attention from both the market and academic researchers.  ...  To this end, we examine price microstructure of the USD per bitcoin, and compare to other financial variables, as a proxy toward classifying Bitcoin into the appropriate risk-class.  ...  He found significant evidences of price clustering around whole numbers, with over 10% of prices ending with decimal digits of 00, as well as the correlation patterns between Bitcoin price clustering and  ... 
doi:10.51483/ijdsbda.1.1.2021.55-62 fatcat:4fmp47trq5eyxiuvw6aqagpolq

ANALYSIS OF BITCOIN MARKET EFFICIENCY BY USING MACHINE LEARNING

Yuki Hirano, Lukáš Pichl, Cheoljun Eom, Taisei Kaizoji
2018 CBU International Conference Proceedings  
among Bitcoin exchanges, and (2) the possibility to predict Bitcoin prices in EUR (time period 2013-2017) and the direction of price movement (up or down) on the daily trading scale.  ...  Here we put Bitcoin, the leading cryptocurrency, on a test by studying the applicability of the Efficient Market Hypothesis by Fama from two viewpoints: (1) the existence of profitable arbitrage spread  ...  Price clustering of Bitcoin at round numbers is found in the work of Urquhart, (2017) who also studies this effect in volume distributions and market liquidity.  ... 
doi:10.12955/cbup.v6.1152 fatcat:l3ef77hgazas3n6kukcairmutm

High-Frequency Jump Analysis of the Bitcoin Market [article]

Olivier Scaillet, Adrien Treccani, Christopher Trevisan
2017 arXiv   pre-print
We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013.  ...  Jumps have short-term positive impact on market activity and illiquidity and see a persistent change in the price.  ...  Our first contribution is to detect the presence of jumps in the bitcoin market, and to study their dynamics.  ... 
arXiv:1704.08175v2 fatcat:iw5zazz6ebbntiop7rzxqhpbeq
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