Chen, Ying; Giudici, Paolo; Hadji Misheva, Branka; Trimborn, Simon (2020). Lead Behaviour in Bitcoin Markets Risks, 8(1), p. 4. MDPI 10.3390/risks8010004
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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.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
Business School > Institute for Applied Data Science & Finance Business School |
Name: |
Chen, Ying; Giudici, Paolo; Hadji Misheva, Branka and Trimborn, Simon |
Subjects: |
H Social Sciences > HG Finance |
ISSN: |
2227-9091 |
Publisher: |
MDPI |
Language: |
English |
Submitter: |
Branka Hadji Misheva |
Date Deposited: |
17 Aug 2022 10:47 |
Last Modified: |
17 Aug 2022 10:47 |
Publisher DOI: |
10.3390/risks8010004 |
Uncontrolled Keywords: |
bitcoin markets; bitcoin trading volumes; network models |
ARBOR DOI: |
10.24451/arbor.17295 |
URI: |
https://arbor.bfh.ch/id/eprint/17295 |
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