Bitcoin Market Volatility Analysis Using Grand Canonical Minority Game

Authors

  • Matteo Ortisi

DOI:

https://doi.org/10.5195/ledger.2016.61

Abstract

In this paper we propose to use the Grand Canonical Minority Game (GCMG, a highly simplified financial market model) as a model of bitcoin market to show how the lack of an income for “miners”, similar to yield earned by bond holders, could be a structural reason for high volatility of bitcoin price in a reference currency. Coherently with present analysis, the introduction of future contracts on bitcoin would have the effect of reducing the overall market volatility. 

References

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Black, F.S. “Noise” The Journal of Finance XLI 3 (1986). 6 Moro, E. “The Minority Game: an introductory guide.” http://arxiv.org/pdf/cond-mat/0402651v1.pdf (2004).

Chakraborti, A., Challet, D., Chatterjee, A., Marsili, M., Zhang, Y.-C., Chakrabarti, B.K. “Statistical mechanics of competitive resource allocation using agent-based models.” Physics Reports 552 1-25 (2015).

Challet, D. “Minority mechanisms in models of agents learning collectively a resource level” Physica A: Statistical Mechanics and Its Applications 344.1 24-29 (2004).

Challet, D., Marsili, M. “Critically and finite size effects in a simple realistic model of stock market.” http://arxiv.org/pdf/cond-mat/0210549.pdf (2002).

Challet, D., Marsili, M., Zhang, Y.-C. “Stylized facts of financial markets and market crashes in Minority Games.” Physica A: Statistical Mechanics and Its Applications 294.3 514-524 (2001).

Nakamoto, S. “Bitcoin: A peer-to-peer electronic cash system.” http://bitcoin.org/bitcoin.pdf (1994).

Ledger: The Inaugural Issue

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Published

2016-12-21

How to Cite

Ortisi, M. (2016). Bitcoin Market Volatility Analysis Using Grand Canonical Minority Game. Ledger, 1, 111–118. https://doi.org/10.5195/ledger.2016.61

Issue

Vol. 1 (2016)

Section

Research Articles

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