Lead Behaviour in Bitcoin Markets

Ying Chen, Paolo Giudici, Branka Hadji Misheva and Simon Trimborn ()
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Ying Chen: Department of Mathematics and Risk Management Institute, National University of Singapore, Singapore 119077, Singapore
Branka Hadji Misheva: School of Engineering, ZHAW University of applied sciences, 8005 Zurich, Switzerland

Risks, 2020, vol. 8, issue 1, 1-14

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.

Keywords: bitcoin markets; bitcoin trading volumes; network models (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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