Bitcoin Market Volatility Analysis Using Grand Canonical Minority Game

Matteo Ortisi

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. 


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References


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

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