The role of whale investors in the bitcoin market

Dehua Shen and Guiqiang Shi

Research in International Business and Finance, 2025, vol. 78, issue C

Abstract: To theoretically investigate the role of whale investors in the Bitcoin market, we construct an Artificial Bitcoin Market (ABM). The ABM reproduces stylized facts observed in the real Bitcoin market, such as fat tails, volatility clustering, autocorrelation, and long memory. We find that as the proportion of whale investors increases, market volatility rises sharply. Specifically, in a small-world network, when the proportion of whale investors increases from 1 % to 6 %, the daily volatility increases by 104 %. This highlights the significant role of whale investors in the Bitcoin market and suggests that regulators should enhance oversight of influential investors. As the share of such investors increases, the market may exhibit more unpredictable and complex characteristics, which, in turn, could profoundly impact market dynamics and pose challenges to market stability.

Keywords: Artificial Bitcoin Market; Whale investor; Stylized fact; Market volatility (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:78:y:2025:i:c:s0275531925002648

DOI: 10.1016/j.ribaf.2025.103008

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