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High Frequency Price Change Spillovers in Bitcoin Markets

Lead Behaviour in Bitcoin Markets

Department of Mathematics and Risk Management Institute, National University of Singapore, Singapore 119077, Singapore
Department of Economics and Management, University of Pavia, 27100 Pavia, Italy
School of Engineering, ZHAW University of applied sciences, 8005 Zurich, Switzerland
Department of Mathematics, National University of Singapore, Singapore 119077, Singapore
Author to whom correspondence should be addressed.
Received: 5 November 2019 / Revised: 30 December 2019 / Accepted: 31 December 2019 / Published: 4 January 2020
(This article belongs to the Special Issue Financial Networks in Fintech Risk Management)
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. View Full-Text
Keywords: bitcoin markets; bitcoin trading volumes; network models bitcoin markets; bitcoin trading volumes; network models
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MDPI and ACS Style

Chen, Y.; Giudici, P.; Hadji Misheva, B.; Trimborn, S. Lead Behaviour in Bitcoin Markets. Risks 2020, 8, 4.

AMA Style

Chen Y, Giudici P, Hadji Misheva B, Trimborn S. Lead Behaviour in Bitcoin Markets. Risks. 2020; 8(1):4.

Chicago/Turabian Style

Chen, Ying, Paolo Giudici, Branka Hadji Misheva, and Simon Trimborn. 2020. "Lead Behaviour in Bitcoin Markets" Risks 8, no. 1: 4.

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