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Bitcoin - Asset or Currency? Revealing Users' Hidden Intentions
Florian Glaser,Florian Glaser,Kai Zimmermann,Martin Haferkorn,Moritz Christian Weber,Michael Siering +5 more
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TLDR
Empirical insights are given on whether users’ interest regarding digital currencies is driven by its appeal as an asset or as a currency, finding strong indications that especially uninformed users approaching digital currencies are not primarily interested in an alternative transaction system but seek to participate in anAlternative investment vehicle.Citations
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Bitcoin, gold and the dollar – A GARCH volatility analysis
TL;DR: In this article, the authors explored the financial asset capabilities of bitcoin using GARCH models and found that bitcoin can be classified as something in between gold and the American dollar on a scale from pure medium of exchange advantages to pure store of value advantages.
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Bitcoin: Economics, Technology, and Governance
TL;DR: In this paper, the authors present the design principles and properties of Bitcoin for a non-technical audience, reviews its past, present and future uses, and points out risks and regulatory issues as Bitcoin interacts with the conventional financial system and real economy.
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Volatility estimation for Bitcoin: A comparison of GARCH models
TL;DR: In this article, the authors explore the optimal conditional heteroskedasticity model with regards to goodness-of-fit to Bitcoin price data and find that the best model is the AR-CGARCH model, highlighting the significance of including both a short run and a long run component of the conditional variance.
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Hedging capabilities of bitcoin. Is it the virtual gold
TL;DR: In this article, the authors explore the hedging capabilities of Bitcoin by applying the asymmetric GARCH methodology used in investigation of gold and show that bitcoin can clearly be used as a hedge against stocks in the Financial Times Stock Exchange Index.
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Cryptocurrencies as a financial asset: A systematic analysis
TL;DR: A systematic review of the empirical literature based on the major topics that have been associated with the market for cryptocurrencies since their development as a financial asset in 2009 is presented in this article, where the authors provide a systematic analysis of the main topics that influence the perception of cryptocurrencies as a credible investment asset class and legitimate of value.
References
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Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
Book
Options, Futures, and Other Derivatives
TL;DR: The Black-Scholes analysis of stock option prices was used in this paper to model the behavior of stock prices and the Yield Curve of stock options, as well as the Black's model for option pricing.
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A transaction data study of weekly and intradaily patterns in stock returns
TL;DR: In this paper, the authors examined weekly and intradaily patterns in common stock prices using transaction data and found that negative Monday close-to-close returns accrue between the Friday close and the Monday open; for smaller firms they accrue primarily during the Monday trading day.
Book
Trading and Exchanges: Market Microstructure for Practitioners
TL;DR: In this paper, the authors discuss the structure of trade, the benefits of trade and the origins of liquidity and volatility in the world. But they focus on the role of suppliers.
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A Prospective and Retrospective Look at the Diffusion Model
TL;DR: How the diffusion model originally was created, some of the most important ways in which it has evolved over the past 30 years, and its future prospects are discussed.
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Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin
Eng-Tuck Cheah,John Fry +1 more