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Publication type: Article in scientific journal
Type of review: Peer review (publication)
Title: Lead behaviour in Bitcoin markets
Authors: Chen, Ying
Giudici, Paolo
Hadji Misheva, Branka
Trimborn, Simon
et. al: No
DOI: 10.3390/risks8010004
Published in: Risks
Volume(Issue): 8
Issue: 1
Page(s): 4
Issue Date: 2020
Publisher / Ed. Institution: MDPI
ISSN: 2227-9091
Language: English
Subjects: Bitcoin market; Bitcoin trading volume; Network model
Subject (DDC): 332: Financial economics
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.
Fulltext version: Published version
License (according to publishing contract): CC BY 4.0: Attribution 4.0 International
Departement: School of Engineering
Organisational Unit: Institute of Data Analysis and Process Design (IDP)
Appears in collections:Publikationen School of Engineering

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