Using an artificial financial market for studying a cryptocurrency market

Luisanna Cocco (), Giulio Concas and Michele Marchesi ()
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Luisanna Cocco: University of Cagliari
Giulio Concas: University of Cagliari
Michele Marchesi: University of Cagliari

Journal of Economic Interaction and Coordination, 2017, vol. 12, issue 2, No 7, 345-365

Abstract: Abstract This paper presents an agent-based artificial cryptocurrency market in which heterogeneous agents buy or sell cryptocurrencies, in particular Bitcoins. In this market, there are two typologies of agents, Random Traders and Chartists, which interact with each other by trading Bitcoins. Each agent is initially endowed with a finite amount of crypto and/or fiat cash and issues buy and sell orders, according to her strategy and resources. The number of Bitcoins increases over time with a rate proportional to the real one, even if the mining process is not explicitly modelled. The model proposed is able to reproduce some of the real statistical properties of the price returns observed in the Bitcoin real market. In particular, it is able to reproduce the unit root property, the fat tail phenomenon and the volatility clustering. The simulator has been implemented using object-oriented technology, and could be considered a valid starting point to study and analyse the cryptocurrency market and its future evolutions.

Keywords: Artificial financial market; Cryptocurrency; Bitcoin; Heterogeneous agents; Market simulation (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (19)

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Working Paper: Using an Artificial Financial Market for studying a Cryptocurrency Market (2014)
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DOI: 10.1007/s11403-015-0168-2

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