TY - GEN
T1 - Bitcoin market return and volatility forecasting using transaction network flow properties
AU - Yang, Steve Y.
AU - Kim, Jinhyoung
N1 - Publisher Copyright:
© 2015 IEEE.
PY - 2015
Y1 - 2015
N2 - Bit coin, as the foundation for a secure electronic payment system, has drawn broad interests from researchers in recent years. In this paper, we analyze a comprehensive Bit coin transaction dataset and investigate the interrelationship between the flow of Bit coin transactions and its price movement. Using network theory, we examine a few complexity measures of the Bit coin transaction flow networks, and we model the joint dynamic relationship between these complexity measures and Bit coin market variables such as return and volatility. We find that a particular complexity measure of the Bit coin transaction network flow is significantly correlated with the Bit coin market return and volatility. More specifically we document that the residual diversity or freedom of Bit coin network flow scaled by the total system throughput can significantly improve the predictability of Bit coin market return and volatility.
AB - Bit coin, as the foundation for a secure electronic payment system, has drawn broad interests from researchers in recent years. In this paper, we analyze a comprehensive Bit coin transaction dataset and investigate the interrelationship between the flow of Bit coin transactions and its price movement. Using network theory, we examine a few complexity measures of the Bit coin transaction flow networks, and we model the joint dynamic relationship between these complexity measures and Bit coin market variables such as return and volatility. We find that a particular complexity measure of the Bit coin transaction network flow is significantly correlated with the Bit coin market return and volatility. More specifically we document that the residual diversity or freedom of Bit coin network flow scaled by the total system throughput can significantly improve the predictability of Bit coin market return and volatility.
UR - http://www.scopus.com/inward/record.url?scp=84964950983&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84964950983&partnerID=8YFLogxK
U2 - 10.1109/SSCI.2015.248
DO - 10.1109/SSCI.2015.248
M3 - Conference contribution
AN - SCOPUS:84964950983
T3 - Proceedings - 2015 IEEE Symposium Series on Computational Intelligence, SSCI 2015
SP - 1778
EP - 1785
BT - Proceedings - 2015 IEEE Symposium Series on Computational Intelligence, SSCI 2015
T2 - IEEE Symposium Series on Computational Intelligence, SSCI 2015
Y2 - 8 December 2015 through 10 December 2015
ER -