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Journal of Economic Interaction and Coordination

Erschienen in:

16.10.2015 | Regular Article

Using an artificial financial market for studying a cryptocurrency market

verfasst von: Luisanna Cocco, Giulio Concas, Michele Marchesi

Erschienen in: Journal of Economic Interaction and Coordination | Ausgabe 2/2017

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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.

Vorheriger Artikel Yield curve responses to market sentiments and monetary policy

Nächster Artikel Endogenous business cycles caused by nonconvex costs and interactions

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Titel: Using an artificial financial market for studying a cryptocurrency market
verfasst von: Luisanna Cocco
Giulio Concas
Michele Marchesi
Publikationsdatum: 16.10.2015
Verlag: Springer Berlin Heidelberg
Erschienen in: Journal of Economic Interaction and Coordination / Ausgabe 2/2017
Print ISSN: 1860-711X
Elektronische ISSN: 1860-7128
DOI: https://doi.org/10.1007/s11403-015-0168-2

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