Using daily BTC-USD data from September 19,2014 to January 21,2024,this paper re-examines whether weekends differ from weekdays for Bitcoin along three margins:average returns,close-to-close volatility,and trading act...Using daily BTC-USD data from September 19,2014 to January 21,2024,this paper re-examines whether weekends differ from weekdays for Bitcoin along three margins:average returns,close-to-close volatility,and trading activity.We implement Welch mean comparisons and HAC-robust OLS with month fixed effects(bandwidths 5,7,and 14).In the full sample and across subsamples(2016–2019;2020–2023;early 2024),we find no detectable weekend–weekday gap in average returns,while volatility and trading activity are lower on weekends.The patterns are robust to using squared returns as a volatility proxy.The joint evidence is consistent with liquidity and attention mechanisms—quieter weekends rather than compensating return premia.Replication files reproduce all tables and figures.展开更多
Since its introduction as a decentralized digital currency for peer-to-peer transactions,Bitcoin’s role in financial markets has undergone significant evolution.We employ bibliometric analysis to explore research tre...Since its introduction as a decentralized digital currency for peer-to-peer transactions,Bitcoin’s role in financial markets has undergone significant evolution.We employ bibliometric analysis to explore research trends in Bitcoin,identifying two primary perspectives in the recent financial economic literature:Bitcoin as a speculative asset and as a safe-haven asset.The speculative nature of Bitcoin is evident through its high volatility and frequent price jumps,largely influenced by rapid shifts in investor sentiment and attention,which create both risks and opportunities for traders.Conversely,Bitcoin exhibits characteristics of a safe-haven asset due to its asymmetric tail dependence and negative correlation within certain asset classes.展开更多
This paper employs Granger causality analysis and the generalized impulse response function(GIRF)to study the higher-order moment spillover effects among Bitcoin,stock markets,and foreign exchange markets in the U.S.U...This paper employs Granger causality analysis and the generalized impulse response function(GIRF)to study the higher-order moment spillover effects among Bitcoin,stock markets,and foreign exchange markets in the U.S.Using intraday high-frequency data,the research focuses on the interactions across higher-order moments,including volatility,jumps,skewness,and kurtosis.The results reveal significant bidirectional spillover effects between Bitcoin and traditional financial assets,particularly in terms of volatility and jump behavior,indicating that the cryptocurrency market has become a crucial component of global financial risk transmission.This study provides new theoretical perspectives and policy recommendations for global asset allocation,market regulation,and risk management,underscoring the importance of proactive management measures in addressing the complex risk interactions between cryptocurrencies and traditional financial markets.展开更多
We use transaction-level data from the Bitcoin exchange Mt.Gox,including over 1.4 million transactions from more than 45,000 traders,to investigate the role of technical chart patterns in the early Bitcoin market from...We use transaction-level data from the Bitcoin exchange Mt.Gox,including over 1.4 million transactions from more than 45,000 traders,to investigate the role of technical chart patterns in the early Bitcoin market from April 2011 to September 2013.Employing a pattern recognition algorithm,we identify hourly trading signals for five major chart patterns.Buy signals of these patterns are associated with an average increase in abnormal trading volume of more than 53%.Trades executed during buy signal periods yield significantly higher average returns than those made during non-signal periods.Traders who use chart patterns more frequently are more likely to generate right-skewed return distributions,engage in more active trading,and achieve higher average roundtrip returns.Our research suggests that chart pattern trading was a crucial tool for Mt.Gox clients,highlighting the importance of technical heuristics in shaping the dynamics in a less efficient and unregulated market environment.By leveraging a comprehensive transaction dataset from a major cryptocurrency exchange,we provide unique insights into the actual trading behavior of the first Bitcoin adopters.This sets our work apart from previous studies that mainly rely on backtesting technical strategies using publicly available price data.展开更多
We present a spatial analysis of Bitcoin-accepting merchants using BTC Map,a global crowdsourced dataset built on OpenStreetMap,to provide ground-level evidence on Bitcoin’s payment ecosystem.While prior research emp...We present a spatial analysis of Bitcoin-accepting merchants using BTC Map,a global crowdsourced dataset built on OpenStreetMap,to provide ground-level evidence on Bitcoin’s payment ecosystem.While prior research emphasizes macroeconomic drivers,our analysis of approximately 11,000 merchants shows that local adoption is more strongly shaped by community dynamics and sectoral niches.Acknowledging quality variance in crowdsourced data,we focus on verified regional clusters.We find a global concentration of adoption in the hospitality sector,localised clusters driven by grassroots initiatives rather than national policy and significant presence in alternative healthcare and IT services.These findings highlight the limits of top-down interventions such as El Salvador’s legal tender law and underscore the role of social networks in sustaining adoption.By contrasting spatial micro-level evidence with national studies,this work positions merchant data as a key lens for understanding Bitcoin’s evolving role as a medium of exchange.展开更多
With the increasingly turbulent political situation and the outbreak of public health events without warning,it will not only affect people’s physical health,but also affect the global financial market,causing the ma...With the increasingly turbulent political situation and the outbreak of public health events without warning,it will not only affect people’s physical health,but also affect the global financial market,causing the market to fall into a huge crisis,thus leading to a continued decline in the worldwide economy.During periods of financial market turmoil,many investors fall into panic and urgently need a“haven”to protect their assets.With the rise of the digital economy,gold no longer seems to be the only safe-haven option.Bitcoin has gradually entered the investors’field of vision.Some investors believe that Bitcoin can become an emerging safe-haven asset that is as important as or surpasses gold.Based on an analysis of the safe-haven properties of Bitcoin and gold during major political and historical events and public health events,this article will clarify which of the two is more suitable as a reliable contemporary safe-haven asset and provide advice to investors.展开更多
The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.The need for these tools dates back to the market cras...The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.The need for these tools dates back to the market crash of 1987,when investors needed better ways to protect their portfolios through option insurance.These tools provide greater flexibility to trade and hedge volatile swings in Bitcoin prices effectively.The violation of constant volatility and the log-normality assumption of the Black–Scholes option pricing model led to the discovery of the volatility smile,smirk,or skew in options markets.These stylized facts;that is,the volatility smile and implied volatilities implied by the option prices,are well documented in the option literature for almost all financial markets.These are expected to be true for Bitcoin options as well.The data sets for the study are based on short-dated Bitcoin options(14-day maturity)of two time periods traded on Deribit Bitcoin Futures and Options Exchange,a Netherlandsbased cryptocurrency derivative exchange.The estimated results are compared with benchmark Black–Scholes implied volatility values for accuracy and efficiency analysis.This study has two aims:(1)to provide insights into the volatility smile in Bitcoin options and(2)to estimate the implied volatility of Bitcoin options through numerical approximation techniques,specifically the Newton Raphson and Bisection methods.The experimental results show that Bitcoin options belong to the commodity class of assets based on the presence of a volatility forward skew in Bitcoin option data.Moreover,the Newton Raphson and Bisection methods are effective in estimating the implied volatility of Bitcoin options.However,the Newton Raphson forecasting technique converges faster than does the Bisection method.展开更多
As an extension of the traditional encryption technology,information hiding has been increasingly used in the fields of communication and network media,and the covert communication technology has gradually developed.T...As an extension of the traditional encryption technology,information hiding has been increasingly used in the fields of communication and network media,and the covert communication technology has gradually developed.The blockchain technology that has emerged in recent years has the characteristics of decentralization and tamper resistance,which can effectively alleviate the disadvantages and problems of traditional covert communication.However,its combination with covert communication thus far has been mostly at the theoretical level.The BLOCCE method,as an early result of the combination of blockchain and covert communication technology,has the problems of low information embedding efficiency,the use of too many Bitcoin addresses,low communication efficiency,and high costs.The present research improved on this method,designed the V-BLOCCE which uses base58 to encrypt the plaintext and reuses the addresses generated by Vanitygen multiple times to embed information.This greatly improves the efficiency of information embedding and decreases the number of Bitcoin addresses used.Under the premise of ensuring the order,the Bitcoin transaction OP_RETURN field is used to store the information required to restore the plaintext and the transactions are issued at the same time to improve the information transmission efficiency.Thus,a more efficient and feasible method for the application of covert communication on the blockchain is proposed.In addition,this paper also provides a more feasible scheme and theoretical support for covert communication in blockchain.展开更多
Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of society.It relies on peer-to-peer network,ac...Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of society.It relies on peer-to-peer network,achieved decentralization,anonymous and transparent.As the most representative digital currency,people curious to study how Bitcoin’price changes in the past.Methods:In this paper,we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index,US dollar index,Dow jones industry average,Federal Funds Rate and gold price influence Bitcoin price.Result:From empirical analysis we find that all these variables do have a long-term influence.US dollar index is the biggest influence on Bitcoin price while gold price influence the least.Conclusion:From our result,we conclude that for now Bitcoin can be treated as a speculative asset,however,it is far from being a proper credit currency.展开更多
Bitcoin is currently the leading global provider of cryptocurrency.Cryptocurrency allows users to safely and anonymously use the Internet to perform digital currency transfers and storage.In recent years,the Bitcoin n...Bitcoin is currently the leading global provider of cryptocurrency.Cryptocurrency allows users to safely and anonymously use the Internet to perform digital currency transfers and storage.In recent years,the Bitcoin network has attracted investors,businesses,and corporations while facilitating services and product deals.Moreover,Bitcoin has made itself the dominant source of decentralized cryptocurrency.While considerable research has been done concerning Bitcoin network analysis,limited research has been conducted on predicting the Bitcoin price.The purpose of this study is to predict the price of Bitcoin and changes therein using the grey system theory.The first order grey model(GM(1,1))is used for this purpose.It uses a firstorder differential equation to model the trend of time series.The results show that the GM(1,1)model predicts Bitcoin’s price accurately and that one can earn a maximum profit confidence level of approximately 98%by choosing the appropriate time frame and by managing investment assets.展开更多
This paper analyzes the selfish-mine strategy in the Bitcoin blockchain introduced in 2013 by I.Eyal and E.G.Sirer.This strategy could be used by a colluding pool of miners to earn more than their fair share of the mi...This paper analyzes the selfish-mine strategy in the Bitcoin blockchain introduced in 2013 by I.Eyal and E.G.Sirer.This strategy could be used by a colluding pool of miners to earn more than their fair share of the mining revenue and in consequence to force other honest miners to join them to decrease the variance of their revenues and make their monthly revenues more predictable.It is a very dangerous dynamic that could allow the rogue pool of miners to go toward a majority by accumulating powers of news adherents and control the entire network.Considering that the propagation delay of information between any two miners in the network,which is not negligible and follows a normal distribution with mean proportional to the physical distance between the two miners,and a constant variance independent of others'delays,we prove that no guarantee can be given about the success or failure of the selfish-mine attack because of the variability of information propagation in the network.展开更多
This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Can...This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Canada,Switzerland,EURO,Japan,and the UK)and the leading cryptocurrency,the Bitcoin.Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility.The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks.Meanwhile,the curvature of the yield curve and the Japanese Yen,Swiss Franc,and British Pound act mainly as net receivers.Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level,slope,and curvature,and from any main currency investigated.These findings hint that Bitcoin might provide hedging benefits.However,similar to the static analysis,our dynamic analysis shows that during different periods and particularly in stressful times,Bitcoin is far from being isolated from other currencies or the yield curve components.The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress.Evidence supporting this contention is the substantially increased connectedness due to policy shocks,political uncertainty,and systemic crisis,implying no empirical support for Bitcoin’s safe-haven property during stress times.The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times,Bitcoin has the property of a diversifier.The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.展开更多
This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebo...This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012.https://doi.org/10.1016/j.ijfor ecast.2011.02.006),the spillover asymmetry measures of Barunik et al.(J Int Money Finance 77:39–56,2017.https://doi.org/10.1016/j.jimon fin.2017.06.003),and the frequency connectedness method of Barunik and Křehlik(J Financ Econom 16(2):271–296,2018.https://doi.org/10.1093/jjfin ec/nby001).The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies(US dollar,euro,Japanese yen,British pound sterling,Australian dollar,and Canadian dollar).Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange portfolios.Alternative currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading currencies.The findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.展开更多
The anonymity and de-anonymity of blockchain and Bitcoin have always been a hot topic in blockchain related research.Since Bitcoin was created by Nakamoto in 2009,it has,to some extent,deviated from its currency attri...The anonymity and de-anonymity of blockchain and Bitcoin have always been a hot topic in blockchain related research.Since Bitcoin was created by Nakamoto in 2009,it has,to some extent,deviated from its currency attribute as a trading medium but instead turned into an object for financial investment and operations.In this paper,the power-law distribution that the Bitcoin network obeys is given with mathematical proof,while traditional deanonymous methods such as clustering fail to satisfy it.Therefore,considering the profit-oriented characteristics of Bitcoin traders in such occasion,we put forward a de-anonymous heuristic approach that recognizes and analyzes the behavioral patterns of financial High-Frequency Transactions(HFT),with realtime exchange rate of Bitcoin involved.With heuristic approach used for de-anonymity,algorithm that deals with the adjacency matrix and transition probability matrix are also put forward,which then makes it possible to apply clustering to the IP matching method.Basing on the heuristic approach and additional algorithm for clustering,finally we established the de-anonymous method that matches the activity information of the IP with the transaction records in blockchain.Experiments on IP matching method are applied to the actual data.It turns out that similar behavioral pattern between IP and transaction records are shown,which indicates the superiority of IP matching method.展开更多
The research seeks to contribute to Bitcoin pricing analysis based on the dynamics between variables of attractiveness and the value of the digital currency.Using the error correction model,the relationship between th...The research seeks to contribute to Bitcoin pricing analysis based on the dynamics between variables of attractiveness and the value of the digital currency.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 2012 and February 2018 is analyzed.The study also applied the same analysis to prices of Bitcoin denominated in different sovereign currencies traded during the same period.The Johansen(J Econ Dyn Control 12:231-254,1988)test demonstrates that the price and number of searches on Google for the first two terms are cointegrated.This research indicates that there are strong short-term and long-term dynamics among attractiveness factors,suggesting that an increase in worldwide interest in Bitcoin is usually preceded by a price increase.In contrast,an increase in market mistrust over a collapse of the currency,as measured by the term bitcoin crash,is followed by a fall in price.Intense world economic crisis events appear to have a strong impact on interest in the virtual currency.This study demonstrates that during a worldwide crisis Bitcoin becomes an alternative investment,increasing its price.Based on it,bitcoin may be used as a safe haven by the financial market and its intrinsic characteristics might help the investors and governments to find new mechanisms to deal with monetary transactions.展开更多
Bitcoin has made an increasing impact on the world's economy and financial order,which attracted extensive attention of researchers and regulators from all over the world.Most previous studies had focused more on ...Bitcoin has made an increasing impact on the world's economy and financial order,which attracted extensive attention of researchers and regulators from all over the world.Most previous studies had focused more on the transaction layer,but less on the network layer.In this paper,we developed BNS(Bitcoin Network Sniffer),which could find and connect nodes in the Bitcoin network,and made a measurement in detail.We collected nearly 4.1 million nodes in 1.5 hours and identified 9,515 reachable nodes.We counted the reachable nodes'properties such as:service type,port number,client version and geographic distribution.In addition,we analyzed the stability of the reachable nodes in depth and found nearly 60%kept stable during 15 days.Finally,we proposed a new approach to infer the Bitcoin network topology by analyzing the Neighbor Addresses of Adjacent Nodes and their timestamps,which had an accuracy over 80%.展开更多
Twitter sentiment has been shown to be useful in predicting whether Bitcoin’s price will increase or decrease.Yet the state-of-the-art is limited to predicting the price direction and not the magnitude of increase/de...Twitter sentiment has been shown to be useful in predicting whether Bitcoin’s price will increase or decrease.Yet the state-of-the-art is limited to predicting the price direction and not the magnitude of increase/decrease.In this paper,we seek to build on the state-of-the-art to not only predict the direction yet to also predict the magnitude of increase/decrease.We utilise not only sentiment extracted from tweets,but also the volume of tweets.We present results from experiments exploring the relation between sentiment and future price at different temporal granularities,with the goal of discovering the optimal time interval at which the sentiment expressed becomes a reliable indicator of price change.Two different neural network models are explored and evaluated,one based on recurrent nets and one based on convolutional networks.An additional model is presented to predict the magnitude of change,which is framed as a multi-class classification problem.It is shown that this model yields more reliable predictions when used alongside a price trend prediction model.The main research contribution from this paper is that we demonstrate that not only can price direction prediction be made but the magnitude in price change can be predicted with relative accuracy(63%).展开更多
Background:Bitcoin system,when more than 51%computing power is controlled by a single node,the block chain can be distorted maliciously.This is called 51%attack which is a well-known potential risk that could destroy ...Background:Bitcoin system,when more than 51%computing power is controlled by a single node,the block chain can be distorted maliciously.This is called 51%attack which is a well-known potential risk that could destroy the Bitcoin system.Method:The paper proves that under the current proof-of-work mechanism,computing power eventually will be centralized at a single node if miners are rational enough.Result:The paper propose a new proof-of-work mechanism that improves decentralization and reduces the risk of 51%attack without increasing the risk of Sybil attack.Concusions:This new mechanism introduces a series of principles such as Career open to all talents,without distinction of birth,Distribution according to labor and All Men are created equal.展开更多
文摘Using daily BTC-USD data from September 19,2014 to January 21,2024,this paper re-examines whether weekends differ from weekdays for Bitcoin along three margins:average returns,close-to-close volatility,and trading activity.We implement Welch mean comparisons and HAC-robust OLS with month fixed effects(bandwidths 5,7,and 14).In the full sample and across subsamples(2016–2019;2020–2023;early 2024),we find no detectable weekend–weekday gap in average returns,while volatility and trading activity are lower on weekends.The patterns are robust to using squared returns as a volatility proxy.The joint evidence is consistent with liquidity and attention mechanisms—quieter weekends rather than compensating return premia.Replication files reproduce all tables and figures.
基金supported by the National Research Foundation of Korea(NRF)grant funded by the Korea government(MSIT,Ministry of Science and ICT)[No.2022R1A2C1010596][NRF-2022R1A2C1010596].
文摘Since its introduction as a decentralized digital currency for peer-to-peer transactions,Bitcoin’s role in financial markets has undergone significant evolution.We employ bibliometric analysis to explore research trends in Bitcoin,identifying two primary perspectives in the recent financial economic literature:Bitcoin as a speculative asset and as a safe-haven asset.The speculative nature of Bitcoin is evident through its high volatility and frequent price jumps,largely influenced by rapid shifts in investor sentiment and attention,which create both risks and opportunities for traders.Conversely,Bitcoin exhibits characteristics of a safe-haven asset due to its asymmetric tail dependence and negative correlation within certain asset classes.
文摘This paper employs Granger causality analysis and the generalized impulse response function(GIRF)to study the higher-order moment spillover effects among Bitcoin,stock markets,and foreign exchange markets in the U.S.Using intraday high-frequency data,the research focuses on the interactions across higher-order moments,including volatility,jumps,skewness,and kurtosis.The results reveal significant bidirectional spillover effects between Bitcoin and traditional financial assets,particularly in terms of volatility and jump behavior,indicating that the cryptocurrency market has become a crucial component of global financial risk transmission.This study provides new theoretical perspectives and policy recommendations for global asset allocation,market regulation,and risk management,underscoring the importance of proactive management measures in addressing the complex risk interactions between cryptocurrencies and traditional financial markets.
文摘We use transaction-level data from the Bitcoin exchange Mt.Gox,including over 1.4 million transactions from more than 45,000 traders,to investigate the role of technical chart patterns in the early Bitcoin market from April 2011 to September 2013.Employing a pattern recognition algorithm,we identify hourly trading signals for five major chart patterns.Buy signals of these patterns are associated with an average increase in abnormal trading volume of more than 53%.Trades executed during buy signal periods yield significantly higher average returns than those made during non-signal periods.Traders who use chart patterns more frequently are more likely to generate right-skewed return distributions,engage in more active trading,and achieve higher average roundtrip returns.Our research suggests that chart pattern trading was a crucial tool for Mt.Gox clients,highlighting the importance of technical heuristics in shaping the dynamics in a less efficient and unregulated market environment.By leveraging a comprehensive transaction dataset from a major cryptocurrency exchange,we provide unique insights into the actual trading behavior of the first Bitcoin adopters.This sets our work apart from previous studies that mainly rely on backtesting technical strategies using publicly available price data.
基金funded in part by the Rapid Response Fund of the AI for Collective Intelligence(AI4CI)hub,a UKRI National AI Research Hub(grant ref EP/Y028392/1).
文摘We present a spatial analysis of Bitcoin-accepting merchants using BTC Map,a global crowdsourced dataset built on OpenStreetMap,to provide ground-level evidence on Bitcoin’s payment ecosystem.While prior research emphasizes macroeconomic drivers,our analysis of approximately 11,000 merchants shows that local adoption is more strongly shaped by community dynamics and sectoral niches.Acknowledging quality variance in crowdsourced data,we focus on verified regional clusters.We find a global concentration of adoption in the hospitality sector,localised clusters driven by grassroots initiatives rather than national policy and significant presence in alternative healthcare and IT services.These findings highlight the limits of top-down interventions such as El Salvador’s legal tender law and underscore the role of social networks in sustaining adoption.By contrasting spatial micro-level evidence with national studies,this work positions merchant data as a key lens for understanding Bitcoin’s evolving role as a medium of exchange.
文摘With the increasingly turbulent political situation and the outbreak of public health events without warning,it will not only affect people’s physical health,but also affect the global financial market,causing the market to fall into a huge crisis,thus leading to a continued decline in the worldwide economy.During periods of financial market turmoil,many investors fall into panic and urgently need a“haven”to protect their assets.With the rise of the digital economy,gold no longer seems to be the only safe-haven option.Bitcoin has gradually entered the investors’field of vision.Some investors believe that Bitcoin can become an emerging safe-haven asset that is as important as or surpasses gold.Based on an analysis of the safe-haven properties of Bitcoin and gold during major political and historical events and public health events,this article will clarify which of the two is more suitable as a reliable contemporary safe-haven asset and provide advice to investors.
文摘The recently developed Bitcoin futures and options contracts in cryptocurrency derivatives exchanges mark the beginning of a new era in Bitcoin price risk hedging.The need for these tools dates back to the market crash of 1987,when investors needed better ways to protect their portfolios through option insurance.These tools provide greater flexibility to trade and hedge volatile swings in Bitcoin prices effectively.The violation of constant volatility and the log-normality assumption of the Black–Scholes option pricing model led to the discovery of the volatility smile,smirk,or skew in options markets.These stylized facts;that is,the volatility smile and implied volatilities implied by the option prices,are well documented in the option literature for almost all financial markets.These are expected to be true for Bitcoin options as well.The data sets for the study are based on short-dated Bitcoin options(14-day maturity)of two time periods traded on Deribit Bitcoin Futures and Options Exchange,a Netherlandsbased cryptocurrency derivative exchange.The estimated results are compared with benchmark Black–Scholes implied volatility values for accuracy and efficiency analysis.This study has two aims:(1)to provide insights into the volatility smile in Bitcoin options and(2)to estimate the implied volatility of Bitcoin options through numerical approximation techniques,specifically the Newton Raphson and Bisection methods.The experimental results show that Bitcoin options belong to the commodity class of assets based on the presence of a volatility forward skew in Bitcoin option data.Moreover,the Newton Raphson and Bisection methods are effective in estimating the implied volatility of Bitcoin options.However,the Newton Raphson forecasting technique converges faster than does the Bisection method.
基金This work is sponsored by the Natural Science Foundation of Heilongjiang Province of China under Grant No.LC2016024Natural Science Foundation of the Jiangsu Higher Education Institutions Grant No.17KJB520044Six Talent Peaks Project in Jiangsu Province No.XYDXX-108.
文摘As an extension of the traditional encryption technology,information hiding has been increasingly used in the fields of communication and network media,and the covert communication technology has gradually developed.The blockchain technology that has emerged in recent years has the characteristics of decentralization and tamper resistance,which can effectively alleviate the disadvantages and problems of traditional covert communication.However,its combination with covert communication thus far has been mostly at the theoretical level.The BLOCCE method,as an early result of the combination of blockchain and covert communication technology,has the problems of low information embedding efficiency,the use of too many Bitcoin addresses,low communication efficiency,and high costs.The present research improved on this method,designed the V-BLOCCE which uses base58 to encrypt the plaintext and reuses the addresses generated by Vanitygen multiple times to embed information.This greatly improves the efficiency of information embedding and decreases the number of Bitcoin addresses used.Under the premise of ensuring the order,the Bitcoin transaction OP_RETURN field is used to store the information required to restore the plaintext and the transactions are issued at the same time to improve the information transmission efficiency.Thus,a more efficient and feasible method for the application of covert communication on the blockchain is proposed.In addition,this paper also provides a more feasible scheme and theoretical support for covert communication in blockchain.
基金This work was supported by the Key Plan of National Social Science Foundation of China under the Grant 14ZDA044.
文摘Background:Bitcoin,the most innovate digital currency as of now,created since 2008,even through experienced its ups and downs,still keeps drawing attentions to all parts of society.It relies on peer-to-peer network,achieved decentralization,anonymous and transparent.As the most representative digital currency,people curious to study how Bitcoin’price changes in the past.Methods:In this paper,we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index,US dollar index,Dow jones industry average,Federal Funds Rate and gold price influence Bitcoin price.Result:From empirical analysis we find that all these variables do have a long-term influence.US dollar index is the biggest influence on Bitcoin price while gold price influence the least.Conclusion:From our result,we conclude that for now Bitcoin can be treated as a speculative asset,however,it is far from being a proper credit currency.
文摘Bitcoin is currently the leading global provider of cryptocurrency.Cryptocurrency allows users to safely and anonymously use the Internet to perform digital currency transfers and storage.In recent years,the Bitcoin network has attracted investors,businesses,and corporations while facilitating services and product deals.Moreover,Bitcoin has made itself the dominant source of decentralized cryptocurrency.While considerable research has been done concerning Bitcoin network analysis,limited research has been conducted on predicting the Bitcoin price.The purpose of this study is to predict the price of Bitcoin and changes therein using the grey system theory.The first order grey model(GM(1,1))is used for this purpose.It uses a firstorder differential equation to model the trend of time series.The results show that the GM(1,1)model predicts Bitcoin’s price accurately and that one can earn a maximum profit confidence level of approximately 98%by choosing the appropriate time frame and by managing investment assets.
基金Author of this article,M.BA,would like to thank the laboratory MODAL’X of Universite Paris Nanterre to support this work。
文摘This paper analyzes the selfish-mine strategy in the Bitcoin blockchain introduced in 2013 by I.Eyal and E.G.Sirer.This strategy could be used by a colluding pool of miners to earn more than their fair share of the mining revenue and in consequence to force other honest miners to join them to decrease the variance of their revenues and make their monthly revenues more predictable.It is a very dangerous dynamic that could allow the rogue pool of miners to go toward a majority by accumulating powers of news adherents and control the entire network.Considering that the propagation delay of information between any two miners in the network,which is not negligible and follows a normal distribution with mean proportional to the physical distance between the two miners,and a constant variance independent of others'delays,we prove that no guarantee can be given about the success or failure of the selfish-mine attack because of the variability of information propagation in the network.
文摘This study examines the connectedness between the US yield curve components(i.e.,level,slope,and curvature),exchange rates,and the historical volatility of the exchange rates of the main safe-haven fiat currencies(Canada,Switzerland,EURO,Japan,and the UK)and the leading cryptocurrency,the Bitcoin.Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility.The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks.Meanwhile,the curvature of the yield curve and the Japanese Yen,Swiss Franc,and British Pound act mainly as net receivers.Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level,slope,and curvature,and from any main currency investigated.These findings hint that Bitcoin might provide hedging benefits.However,similar to the static analysis,our dynamic analysis shows that during different periods and particularly in stressful times,Bitcoin is far from being isolated from other currencies or the yield curve components.The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress.Evidence supporting this contention is the substantially increased connectedness due to policy shocks,political uncertainty,and systemic crisis,implying no empirical support for Bitcoin’s safe-haven property during stress times.The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times,Bitcoin has the property of a diversifier.The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.
文摘This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012.https://doi.org/10.1016/j.ijfor ecast.2011.02.006),the spillover asymmetry measures of Barunik et al.(J Int Money Finance 77:39–56,2017.https://doi.org/10.1016/j.jimon fin.2017.06.003),and the frequency connectedness method of Barunik and Křehlik(J Financ Econom 16(2):271–296,2018.https://doi.org/10.1093/jjfin ec/nby001).The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies(US dollar,euro,Japanese yen,British pound sterling,Australian dollar,and Canadian dollar).Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange portfolios.Alternative currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading currencies.The findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.
基金supported by National Natural Science Foundation of China(No.62002332)。
文摘The anonymity and de-anonymity of blockchain and Bitcoin have always been a hot topic in blockchain related research.Since Bitcoin was created by Nakamoto in 2009,it has,to some extent,deviated from its currency attribute as a trading medium but instead turned into an object for financial investment and operations.In this paper,the power-law distribution that the Bitcoin network obeys is given with mathematical proof,while traditional deanonymous methods such as clustering fail to satisfy it.Therefore,considering the profit-oriented characteristics of Bitcoin traders in such occasion,we put forward a de-anonymous heuristic approach that recognizes and analyzes the behavioral patterns of financial High-Frequency Transactions(HFT),with realtime exchange rate of Bitcoin involved.With heuristic approach used for de-anonymity,algorithm that deals with the adjacency matrix and transition probability matrix are also put forward,which then makes it possible to apply clustering to the IP matching method.Basing on the heuristic approach and additional algorithm for clustering,finally we established the de-anonymous method that matches the activity information of the IP with the transaction records in blockchain.Experiments on IP matching method are applied to the actual data.It turns out that similar behavioral pattern between IP and transaction records are shown,which indicates the superiority of IP matching method.
文摘The research seeks to contribute to Bitcoin pricing analysis based on the dynamics between variables of attractiveness and the value of the digital currency.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 2012 and February 2018 is analyzed.The study also applied the same analysis to prices of Bitcoin denominated in different sovereign currencies traded during the same period.The Johansen(J Econ Dyn Control 12:231-254,1988)test demonstrates that the price and number of searches on Google for the first two terms are cointegrated.This research indicates that there are strong short-term and long-term dynamics among attractiveness factors,suggesting that an increase in worldwide interest in Bitcoin is usually preceded by a price increase.In contrast,an increase in market mistrust over a collapse of the currency,as measured by the term bitcoin crash,is followed by a fall in price.Intense world economic crisis events appear to have a strong impact on interest in the virtual currency.This study demonstrates that during a worldwide crisis Bitcoin becomes an alternative investment,increasing its price.Based on it,bitcoin may be used as a safe haven by the financial market and its intrinsic characteristics might help the investors and governments to find new mechanisms to deal with monetary transactions.
基金supported by National Key Research and Development Program of China (Grant No.2020YFB1006105)
文摘Bitcoin has made an increasing impact on the world's economy and financial order,which attracted extensive attention of researchers and regulators from all over the world.Most previous studies had focused more on the transaction layer,but less on the network layer.In this paper,we developed BNS(Bitcoin Network Sniffer),which could find and connect nodes in the Bitcoin network,and made a measurement in detail.We collected nearly 4.1 million nodes in 1.5 hours and identified 9,515 reachable nodes.We counted the reachable nodes'properties such as:service type,port number,client version and geographic distribution.In addition,we analyzed the stability of the reachable nodes in depth and found nearly 60%kept stable during 15 days.Finally,we proposed a new approach to infer the Bitcoin network topology by analyzing the Neighbor Addresses of Adjacent Nodes and their timestamps,which had an accuracy over 80%.
文摘Twitter sentiment has been shown to be useful in predicting whether Bitcoin’s price will increase or decrease.Yet the state-of-the-art is limited to predicting the price direction and not the magnitude of increase/decrease.In this paper,we seek to build on the state-of-the-art to not only predict the direction yet to also predict the magnitude of increase/decrease.We utilise not only sentiment extracted from tweets,but also the volume of tweets.We present results from experiments exploring the relation between sentiment and future price at different temporal granularities,with the goal of discovering the optimal time interval at which the sentiment expressed becomes a reliable indicator of price change.Two different neural network models are explored and evaluated,one based on recurrent nets and one based on convolutional networks.An additional model is presented to predict the magnitude of change,which is framed as a multi-class classification problem.It is shown that this model yields more reliable predictions when used alongside a price trend prediction model.The main research contribution from this paper is that we demonstrate that not only can price direction prediction be made but the magnitude in price change can be predicted with relative accuracy(63%).
文摘Background:Bitcoin system,when more than 51%computing power is controlled by a single node,the block chain can be distorted maliciously.This is called 51%attack which is a well-known potential risk that could destroy the Bitcoin system.Method:The paper proves that under the current proof-of-work mechanism,computing power eventually will be centralized at a single node if miners are rational enough.Result:The paper propose a new proof-of-work mechanism that improves decentralization and reduces the risk of 51%attack without increasing the risk of Sybil attack.Concusions:This new mechanism introduces a series of principles such as Career open to all talents,without distinction of birth,Distribution according to labor and All Men are created equal.
