Inferring short-term volatility indicators from the Bitcoin blockchain

Date Issued
2019Publisher Version
10.1007/978-3-030-05414-4_41Author(s)
Antulov-Fantulin, Nino
Tolic, Dijana
Piskorec, Matija
Ce, Zhang
Vodenska, Irena
Metadata
Show full item recordPermanent Link
https://hdl.handle.net/2144/38486Version
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_41Abstract
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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