Bitcoin economic behavior analysis and policy implications by leveraging deep learning and high-frequency data
Vasileios Siakoulis, Anastasios S. Petropoulos, Panagiotis Lazaris · International Journal of Data Science and Big Data Analytics · 2021
The recent surge in Bitcoin price performance has attracted significant attention from both the market and academic researchers.This paper constitutes the first principled attempt to determine market risk own-funds requirements for Bitcoin.To this end, we examine price microstructure of the USD per bitcoin, and compare to other financial variables, as a proxy toward classifying Bitcoin into the appropriate risk-class.Using the outcomes of this analysis, we classify and quantify the entailed risk from a market risk minimum capital requirements perspective.To perform the prescribed analysis, we introduce a novel methodological paradigm, which adopts bleeding-edge concepts from the field of Data Science and Machine Learning.