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Information dynamics of price and liquidity around the 2017 Bitcoin markets crash
2022
Preserved Fulltext
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
2017
Economics Letters
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2017 pre-print arXiv:1709.08090v1 fatcat:ssf5t6pqyfgelmqau6nq7ngusu
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
2021
SN Business & Economics
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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]
2019
arXiv
pre-print
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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
2020
Financial Innovation
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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]
2019
arXiv
pre-print
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2019 pre-print arXiv:1804.06261v3 fatcat:6wobpwgywzchlegjwnbwhwtb6qOther Versions
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
2019
Ruch Prawniczy Ekonomiczny i Socjologiczny
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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?
2019
Finance Research Letters
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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
2019
Journal of Business Economics and Management
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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
2019
Journal of Risk and Financial Management
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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
2021
Annals of Operations Research
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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
2021
Risks
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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
2021
International Journal of Data Science and Big Data Analytics
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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
2018
CBU International Conference Proceedings
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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]
2017
arXiv
pre-print
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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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