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    Inferring short-term volatility indicators from the Bitcoin blockchain

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    Date Issued
    2019
    Publisher Version
    10.1007/978-3-030-05414-4_41
    Author(s)
    Antulov-Fantulin, Nino
    Tolic, Dijana
    Piskorec, Matija
    Ce, Zhang
    Vodenska, Irena
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    Permanent Link
    https://hdl.handle.net/2144/38486
    Version
    Accepted manuscript
    Citation (published version)
    Nino Antulov-Fantulin, Dijana Tolic, Matija Piskorec, Zhang Ce, Irena Vodenska. 2019. "Inferring Short-Term Volatility Indicators from the Bitcoin Blockchain." pp. 508 - 520. https://doi.org/10.1007/978-3-030-05414-4_41
    Abstract
    In this paper, we study the possibility of inferring early warning indicators (EWIs) for periods of extreme bitcoin price volatility using features obtained from Bitcoin daily transaction graphs. We infer the low-dimensional representations of transaction graphs in the time period from 2012 to 2017 using Bitcoin blockchain, and demonstrate how these representations can be used to predict extreme price volatility events. Our EWI, which is obtained with a non-negative decomposition, contains more predictive information than those obtained with singular value decomposition or scalar value of the total Bitcoin transaction volume.
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    • BU Open Access Articles [3664]


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