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Abstract
We aim to understand the dynamics of Bitcoin blockchain trading volumes and, specifically, how different trading groups, in different geographic areas, interact with each other. To achieve this aim, we propose an extended Vector Autoregressive model, aimed at explaining the evolution of trading volumes, both in time and in space. The extension is based on network models, which improve pure autoregressive models, introducing a contemporaneous contagion component that describes contagion effects between trading volumes. Our empirical findings show that transactions activities in bitcoins is dominated by groups of network participants in Europe and in the United States, consistent with the expectation that market interactions primarily take place in developed economies. © 2020 by the authors. Licensee MDPI, Basel, Switzerland.
Keywords
Bitcoin markets, Bitcoin trading volumes, Network models
Source Title
Risks
Publisher
MDPI AG
Series/Report No.
Collections
Rights
Attribution 4.0 International
Date
2020
DOI
10.3390/risks8010004
Type
Article