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  
article under the CC BY license (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. Abstract The recent surge in Bitcoin price performance has attracted significant attention from both the market and academic researchers. This paper constitutes the first
more » ... d attempt to determine market risk own-funds requirements for Bitcoin. 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. Using the outcomes of this analysis, we classify and quantify the entailed risk from a market risk minimum capital requirements perspective. To perform the prescribed analysis, we introduce a novel methodological paradigm, which adopts bleeding-edge concepts from the field of Data Science and Machine Learning.
doi:10.51483/ijdsbda.1.1.2021.55-62 fatcat:4fmp47trq5eyxiuvw6aqagpolq