Please use this identifier to cite or link to this item: https://doi.org/10.3390/risks8010004
Title: Lead behaviour in bitcoin markets
Authors: Chen, Y.
Giudici, P.
Misheva, B.H.
Trimborn, S. 
Keywords: Bitcoin markets
Bitcoin trading volumes
Network models
Issue Date: 2020
Publisher: MDPI AG
Citation: Chen, Y., Giudici, P., Misheva, B.H., Trimborn, S. (2020). Lead behaviour in bitcoin markets. Risks 8 (1) : 4. ScholarBank@NUS Repository. https://doi.org/10.3390/risks8010004
Rights: Attribution 4.0 International
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.
Source Title: Risks
URI: https://scholarbank.nus.edu.sg/handle/10635/196199
ISSN: 2227-9091
DOI: 10.3390/risks8010004
Rights: Attribution 4.0 International
Appears in Collections:Elements
Staff Publications

Show full item record
Files in This Item:
File Description SizeFormatAccess SettingsVersion 
10_3390_risks8010004.pdf2.65 MBAdobe PDF

OPEN

NoneView/Download

Google ScholarTM

Check

Altmetric


This item is licensed under a Creative Commons License Creative Commons