Bitcoin Price Dynamics
DOWNLOAD
Download Bitcoin Price Dynamics PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Bitcoin Price Dynamics book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
A Modelling Of Bitcoin Price Dynamics By The Artificial Market Algorithm
DOWNLOAD
Author : Yasufumi Shimada
language : en
Publisher:
Release Date : 2017
A Modelling Of Bitcoin Price Dynamics By The Artificial Market Algorithm written by Yasufumi Shimada and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
A famous crypto-currency “Bitcoin” was invented in 2009. Since then, we have observed dramatic fluctuation of its price due to the nature of crypto-currency. In other words, the level of the fluctuation seems totally different from the ordinary financial assets like equities, interest rates and foreign exchange rates. Therefore it is afraid that the well-known framework of PDE used for those financial assets, is not suitable to express Bitcoin's dynamics. In this article, an algorithm of artificial market simulation model, so called “150 Agents Model” is proposed to express the fluctuation of Bitcoin price. The model is composed of two types of agents, Traders and Non-Traders, who trade Bitcoin through “itayose” method. The aim of the model is not pricing Bitcoin exactly for trading. Rather it could visualize the structure implied behind the price actions. By calibrating the model to actual price fluctuation of Bitcoin, we are able to see the overall market picture composed of agents to recognize their target prices and price sensitivities as the driver of the price dynamics, to predict the range of next big fluctuation and to recognize how the change of agent's target price and its sensitivity to the price change, affect the landscape of the price range. This model is versatile and flexible. We could add new agents, take new issued amount into consideration, express flash crush and also simulate fluctuation of ordinary financial assets like foreign exchange rates by applying a moderate range of the parameters, which could produce a kind of Elliot Wave dynamics.
Bitcoin Price Dynamics
DOWNLOAD
Author : Jackie Johnson
language : en
Publisher:
Release Date : 2019
Bitcoin Price Dynamics written by Jackie Johnson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
With Bitcoin's price reaching nearly US$20,000 in December 2017, the decision was made to examine, in monetary terms, the Bitcoin market in US dollars, the euro and the UK pound to highlight the fact that peer-to-peer (P2P) traders face a very different market to those trading via a Bitcoin exchange. We find that there are enormous differences in the premiums paid for bitcoins, especially at times of extreme price changes; not only are there massive differences between P2P and exchange trading but premiums also vary across currencies and exchanges. In addition, we are able to calculate the proportion of exchange trades above and below the market, potentially providing a useful tool for developing a low risk trading strategy by identifying exchanges where bitcoins are more frequently purchased below the market price and exchanges where the majority of trades are above the market. Allowing a buy low, sell high strategy to be developed.
Bitcoin Cross Market Price Dynamics
DOWNLOAD
Author : Jinqiang Ye
language : en
Publisher:
Release Date : 2022
Bitcoin Cross Market Price Dynamics written by Jinqiang Ye and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Exploring Defi Market Volatility Price Dynamics And Emerging Trends
DOWNLOAD
Author : CHESTER LARK
language : en
Publisher: CHESTER LARK
Release Date : 2024-06-27
Exploring Defi Market Volatility Price Dynamics And Emerging Trends written by CHESTER LARK and has been published by CHESTER LARK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-27 with Business & Economics categories.
"Exploring DeFi: Market Volatility, Price Dynamics, and Emerging Trends" provides a comprehensive exploration of the evolving landscape of cryptocurrencies and decentralized finance (DeFi). This book serves as an essential guide for both newcomers and seasoned investors aiming to navigate the complexities and opportunities within digital assets and blockchain-based financial innovations. This book covers foundational topics such as the genesis of Bitcoin, the rise of altcoins, and the evolution of cryptocurrency markets. It delves into analytical approaches including fundamental and technical analysis, and explores behavioral finance aspects influencing market dynamics. The text also examines critical factors such as news and events, regulatory changes, and market sentiment, along with strategies for managing volatility, risk, and optimizing investment portfolios. Advanced topics include trading strategies, market surveillance, and an introduction to cryptocurrency derivatives and decentralized finance (DeFi), addressing their impact on market volatility and price manipulation.
Everything You Always Wanted To Know About Bitcoin Modelling But Were Afraid To Ask Part 2
DOWNLOAD
Author : Dean Fantazzini
language : en
Publisher:
Release Date : 2018
Everything You Always Wanted To Know About Bitcoin Modelling But Were Afraid To Ask Part 2 written by Dean Fantazzini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This part completes the consultation series dealing with bitcoin price modelling. Particularly, the analysis focuses on the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.
Bitcoin And Web Search Query Dynamics
DOWNLOAD
Author : Bernd Süssmuth
language : en
Publisher:
Release Date : 2019
Bitcoin And Web Search Query Dynamics written by Bernd Süssmuth and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a generic asset. Google queries, although cointegrated, are found to be not helpful in predicting the USD exchange rate of Bitcoin as the speculative bubble in the latter antedates explosive behavior in the former. Chinese Baidu engine queries and compounded Baidu-Google queries predict Bitcoin price dynamics at relatively high frequencies ranging from two to five months. In the other direction, causality runs from the cryptocurrency price to queries statistics across nearly all frequencies. In both directions, the reaction time computed from a phase delay measure for the relevant frequency bands with significant causality ranges from slightly more than one month to about four months.
A Confidence Based Model For Asset And Derivative Prices In The Bitcoin Market
DOWNLOAD
Author : Alessandra Cretarola
language : en
Publisher:
Release Date : 2019
A Confidence Based Model For Asset And Derivative Prices In The Bitcoin Market written by Alessandra Cretarola and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices causing a Bubble effect, the presence of which is documented in several papers about the cryptocurrency. In this paper we develop a bivariate model in continuous time to describe the price dynamics of one BitCoin as well as the behavior of a second factor affecting the price itself, which we name confidence indicator. The two dynamics are possibly correlated and we also take into account a delay between the confidence indicator and its delivered effect on the BitCoin price. Statistical properties of the suggested model are investigated and its arbitrage-free property is shown. Further, based on risk-neutral evaluation, a quasi-closed formula is derived for European style derivatives on the BitCoin. A short numerical application is finally provided.
Everything You Always Wanted To Know About Bitcoin Modeling But Were Afraid To Ask Part 1
DOWNLOAD
Author : Dean Fantazzini
language : en
Publisher:
Release Date : 2018
Everything You Always Wanted To Know About Bitcoin Modeling But Were Afraid To Ask Part 1 written by Dean Fantazzini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools which have been proposed so far to model the bitcoin price and several related issues, highlighting advantages and limits. We discuss the methods employed to determine the main characteristics of bitcoin users, the models proposed to assess the bitcoin fundamental value, the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.
Bitcoin Fluctuations And The Frequency Of Price Overreactions
DOWNLOAD
Author : Guglielmo Maria Caporale
language : en
Publisher:
Release Date : 2018
Bitcoin Fluctuations And The Frequency Of Price Overreactions written by Guglielmo Maria Caporale and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
This paper investigates the role of the frequency of price overreactions in the cryptocurrency market in the case of BitCoin over the period 2013-2018. Specifically, it uses a static approach to detect overreactions and then carries out hypothesis testing by means of a variety of statistical methods (both parametric and non-parametric) including ADF tests, Granger causality tests, correlation analysis, regression analysis with dummy variables, ARIMA and ARMAX models, neural net models, and VAR models. Specifically, the hypotheses tested are whether or not the frequency of overreactions (i) is informative about Bitcoin price movements (H1) and (ii) exhibits seasonality (H2). On the whole, the results suggest that it can provide useful information to predict price dynamics in the cryptocurrency market and for designing trading strategies (H1 cannot be rejected), whilst there is no evidence of seasonality (H2 is rejected).
Everything You Always Wanted To Know About Bitcoin Modelling But Were Afraid To Ask
DOWNLOAD
Author : Dean Fantazzini
language : en
Publisher:
Release Date : 2016
Everything You Always Wanted To Know About Bitcoin Modelling But Were Afraid To Ask written by Dean Fantazzini and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools which have been proposed so far to model the bitcoin price and several related issues, highlighting advantages and limits. We discuss the methods employed to determine the main characteristics of bitcoin users, the models proposed to assess the bitcoin fundamental value, the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.