EconPapers    
Economics at your fingertips  
 

Using an Artificial Financial Market for studying a Cryptocurrency Market

Luisanna Cocco, Giulio Concas and Michele Marchesi

Papers from arXiv.org

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 absolute returns observed in the Bitcoin real market. In particular, it is able to reproduce the autocorrelation of the absolute returns, and their cumulative distribution function. 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.

Date: 2014-06
New Economics Papers: this item is included in nep-cmp and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1406.6496 Latest version (application/pdf)

Related works:
Journal Article: Using an artificial financial market for studying a cryptocurrency market (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1406.6496

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2022-08-18
Handle: RePEc:arx:papers:1406.6496