Top Research Papers on Cryptocurrency

Since its launch in 2009 much has been written about Bitcoin, cryptocurrencies, and blockchains. While the discussions initially took place mostly on blogs and other popular media, we now are witnessing the emergence of a growing body of rigorous academic research on these topics. By the nature of the phenomenon analyzed, this research spans many academic disciplines including macroeconomics, law and economics, and computer science. This survey focuses on the microeconomics of crypto-currencies themselves. What drives their supply, demand, trading price, and competition amongst them? This lite...

It is shown that token retradeability mitigates this risk of breakdown on younger platforms by harnessing user optimism but worsens this fragility when sentiment trading by speculators crowds out users.

We model cryptocurrencies as utility tokens used by a decentralized digital platform to facilitate transactions between users of certain goods or services. The network effect governing user participation, in conjunction with the nonneutrality of the token price, can cause the token market to break down. We show that token retradeability mitigates this risk of breakdown on younger platforms by harnessing user optimism but worsens this fragility when sentiment trading by speculators crowds out users. Elastic token issuance mitigates this fragility, but strategic attacks by miners exacerbate it b...

The authors propose a collection of viewpoints on crypto art from different actors of the system: artists, collectors, galleries, art historians and data scientists.

This paper focuses on multi-currency wallets review exploring on features like supported currencies, anonymity, cost, platform support, key management, wallet recovery methods and fiat currencies supported.

It is suggested that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

• Bitcoin's excess volatility requires a crypto safe haven for investors. • Hypothesize that stablecoins provide stability and a safe haven for Bitcoin investors. • Stablecoins are a safe haven with respect to Bitcoin but not stable at all times. The design of Bitcoin is closely related to gold which has led to the idea that Bitcoin has gold-like features such as being a store of value and a safe haven. However, given Bitcoin's extreme volatility investors may rather need a safe haven against Bitcoin. We hypothesize that stablecoins provide such a safe haven and analyze high-frequency price ch...

This paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Cryptocurrency Policy Uncertainty and Cryptocurrency Price Uncertainty indices. We observe that cryptocurrency policy uncertainty is the main transmitter of the return spillovers to other variables. In addition, Gold is a net receiver of both the return and the volatility spillovers. These results are valid under bearish, bullish, and normal market condi...

It is found that higher volatility, trading volume and transactions are positively associated with the presence of bubbles across cryptocurrencies, and regarding the uncertainty variables, the VIX-index consistently demonstrates negative relationships with bubble occurrence, while the EPU-index mostly exhibits positive associations with bubbles.

This paper identifies over 1,500 scam domains and over 300 fake apps, by collecting existing reports and using typosquatting generation techniques, and characterize the impacts of such scams, revealing that they have incurred financial loss of 520k US dollars at least.

We examine the relationship between investor attention, and measures of uncertainty, with the market dynamics of Bitcoin and other cryptocurrencies. We find that increases in investor attention are associated with higher returns, more volatility, and greater illiquidity in cryptocurrency markets. In contrast, cryptocurrency uncertainty (UCRY) and financial market uncertainty (VIX) are also positively related to volatility and illiquidity but have a negative contemporaneous relationship with returns. The identified relationships are accentuated during the COVID-pandemic, and are robust to diffe...

A scoping review of academic research and grey literature on cryptocurrency fraud and an expert consensus exercise ranked pump-and-dump schemes and ransomware as the most profitable and feasible threats, though pump- and-dumps were perceived as the least harmful type of fraud.

This paper provides a comprehensive survey of cryptocurrency Trading research, by covering 146 research papers on various aspects of cryptocurrency trading (e.g., cryptocurrency trading systems, bubble and extreme condition, prediction of volatility and return, crypto-assets portfolio construction and crypto- assets, technical trading and others).

Bitcoin is presented which illuminates some of the recent events and movements that could influence whether bitcoin contributes to a shift in economic paradigms and could change the way internet connected global markets interact with each other.

In order to move beyond mean-based connectedness measures in the cryptocurrency market and capture connectedness under extreme events, this paper applies quantile-based connectedness measures based on the variance decomposition of a quantile vector autoregression model. Based on the daily price data of seven leading cryptocurrencies from August 8, 2015 to December 31, 2020, the results show that the connectedness measures in the left and right tails are much higher than those in the mean and median of the conditional distribution. This suggests that return connectedness strengthens with shock ...

The Foundation platform is mapped, identifying over 48,000 artworks through the associated NFTs listed by over 15,000 artists, allowing us to characterize the patterns that govern the networks that shape artistic success and to better understand the emerging NFT ecosystem.

This paper investigates the efficacy of low-frequency transactions-based liquidity measures to describe actual (high-frequency) liquidity. We show that the Corwin and Schultz (2012) and Abdi and Ranaldo (2017) estimators outperform other measures in describing time-series variations, irrespective of the observation frequency, trading venue, high-frequency liquidity benchmark, and cryptocurrency. Both measures perform well during high and low return, volatility and volume periods. The Kyle and Obizhaeva (2016) estimator and the Amihud (2002) illiquidity ratio outperform when estimating liquidit...

The study quantifies the spillover effects in the cryptocurrency market using a rolling-window Bayesian Vector Autoregressive Model. The present study offers a better understanding of the interconnectedness and the shock transmission in the cryptocurrency market, as it quantifies spillover risk at the pairwise directional level, offering a dynamic understanding of the shock fluctuation within the market which in turn uncovers periods of risk integration. In addition, the study investigates the determinants of the spillover shocks in the cryptocurrency market, revealing the increasing connectio...

The role of legal, criminal, financial, and social determinants of the adoption of Bitcoin infrastructure are investigated and support is found for the view that bitcoin adoption is also partly driven by cryptocurrencies’ usefulness in engaging in illicit trade is found.

The extent to which herding and feedback trading behaviors drive price dynamics across nine major cryptocurrencies is examined, and the observed nature of the risk-return tradeoffs for each of the authors' sampled cryptocurrencies is shed.

It is shown that Bitcoin and Ethereum are the hardest hit, and at the same time, these two largest cryptocurrencies recovered faster at the end of March 2020 from their sharp dip towards inefficiency.

Ulrich Gallersdörfer is a research associate in the Department of Informatics at the Technical University of Munich. His research focuses on identity management in blockchains. His interest extends to further aspects of the technology, ranging from environmental implications to data analytics applications. Lena Klaaßen is a graduate student at TUM School of Management at the Technical University of Munich. She is specialized in energy markets and accounting. Her research focuses on carbon accounting in the corporate and cryptocurrency space. She has previously analyzed blockchain-related firms...

We investigate the relationship between the economic policy uncertainty index (EPU) and cryptocurrency volatility. We find that a change in EPU of China predicts cryptocurrency volatility, but a change in the EPU of the U.S., Japan, or Korea has no such effect. Moreover, changes in the China EPU are negatively associated with Bitcoin and Litecoin future volatility, which may imply that Bitcoin and Litecoin are hedging tools against the EPU risk. However, changes in China EPU may not affect the cryptocurrency volatility after the Chinese government's regulation of crypto-trading.

Stablecoins are digital currencies that are pegged to non-volatile assets. As alternatives to fiat currencies, they constitute an important aspect of cryptocurrency markets. We analyze returns of cryptocurrencies around 565 stablecoin issuances events for seven different stablecoins between April 2019 and March 2020. Our event study reveals market downturns in the week before issuance and positive abnormal returns in the twenty-four hours around the issuance. Effects differ and remain insignificant for some stablecoin subsamples and issuance size does not significantly affect the abnormal retu...

Purpose (1) A concern often expressed in relation to cryptocurrencies is the environmental impact associated with increasing energy consumption and mining pollution. Controversy remains regarding how environmental attention and public concerns adversely affect cryptocurrency prices. Therefore, the paper aims to introduce the index of cryptocurrency environmental attention (ICEA), which aims to capture the relative extent of media discussions surrounding the environmental impact of cryptocurrencies. (2) The impacts of cryptocurrency environmental attention on long-term macro-financial markets a...

This work charted the landscape of online cryptocurrency manipulation across multiple platforms, unveiling two different deception schemes – “pump-and-dump” and “Ponzi” – and identifying the channels involved in these frauds.

This paper analyzes the tail-risk interdependence among 23 cryptocurrencies and identifies the systemically important cryptocurrencies using the TENET approach proposed by Fan et al. (2018) and finds that (i) significant risk spillover effect exists; (ii) the degree of the total connectedness of all the sampled cryptocurrencies increases steadily over time; (iii) Bitcoin is the largest systemic risk receiver; (iv) Ethereum is the largest systemic risk emitter.

The high volatility of the blockchain markets has driven the attention of investors and market participants to concentrate on the diversification avenues of NFTs, DeFi Tokens, and Cryptocurrencies. We examined the extreme risk transmission of blockchain markets using the quantile connectedness technique at the median, extreme low, and extreme high volatility conditions. We find significant risk spillovers among blockchain markets with strong disconnection of NFTs. Meanwhile, time-varying features characterized various uneven economic circumstances. Overall, NFTs offer greater diversification a...

This study analysed the performance and dynamics of 174 tokens, showing that this new crypto niche is characterised by a positive performance in the long run, the absence of high co-movements with the cryptocurrency market, the emergence of bubbles, and the presence of high correlations with NFT features.

Literature suggests assets become more correlated during economic downturns. The COVID-19 crisis provides an unprecedented opportunity to investigate this considerably further. Further, whether cryptocurrencies provide a diversification for equities is still an unsettled issue. We employ several econometric procedures, including wavelet coherence, and neural network analyses to rigorously examine the role of COVID-19 on the paired co-movements of four cryptocurrencies, with seven equity indices (matching countries particularly impacted by COVID-19). Our period of study includes one year prior ...

The framework relies on a tracing authority, but is optimistic, in that it is only involved when investigations in certain transactions are required, and demonstrates that Traceable Monero incurs merely a very small overhead in generating and verifying a transaction compared to Monero transactions.

This study investigates the environmental implications of cryptocurrency energy consumption on climate change. Using a spectrum of approaches, including Granger causality across quantiles, cross-quantilograms, and dynamic connectedness, we provide novel evidence on the nexus between Bitcoin mining and climate change. First, we find a significant Granger causality between carbon dioxide (CO2) emissions and the energy usage of Bitcoin that concentrates on the right-tail quantiles. Second, we show that the directional predictability from hash rate, blockchain size, and Bitcoin returns to Bitcoin ...

We detect episodes of price explosivity and collapse in Bitcoin and its contender Dogecoin using four-hourly data. The results show multiple bubble episodes in both cryptocurrencies, with a more frequent occurrence in Bitcoin. Collapse episodes are only observed in Bitcoin. We relate price explosivity to Elon Musk's tweets. His cryptocurrency-related general tweets have contributed to the price explosivity of Bitcoin, whereas his Dogecoin-specific tweets have contributed to price explosivity in Dogecoin. Our findings highlight the influential role of key persons through social media on the for...

Bitcoin and other prominent cryptocurrencies have gained much attention since the last several years. Globally known as digital coin and virtual currency, this cryptocurrency is gained and traded within the blockchain system. The blockchain technology adopted in using the cryptocurrency has raised the eyebrows within the banking sector, government, stakeholders and individual investors. The rise of the cryptocurrency within this decade since the inception of Bitcoin in 2009 has taken the market by storm. Cryptocurrency is anticipated as the future currency that might replace the current paper ...

This paper investigates whether investors can earn higher profits by holding cryptocurrencies with higher downside risk. Both portfolio-level analyses and cryptocurrency-level cross-sectional regressions suggest a positive cross-sectional relation between downside risk and future returns in the cryptocurrency market. In addition to the risk-return tradeoff theory, the limits-to-arbitrage theory also has some explanatory power for these results. Moreover, we examine the source of downside risk premium, the existence of upside risk premium, as well as the intertemporal relation between downside ...

In early 2021, non-fungible tokens (NFT) became the first application of blockchain technology to achieve clear public prominence. NFTs are tradeable rights to digital assets (images, music, videos, virtual creations) where ownership is recorded in smart contracts on a blockchain. Given the NFT market emerged out of cryptocurrencies, we explore if NFT pricing is related to cryptocurrency pricing. A spillover index shows only limited volatility transmission effects between cryptocurrencies and NFTs. But wavelet coherence analysis indicates co-movement between the two sets of markets. This sugge...

A spillover index shows only limited volatility transmission effects between cryptocurrencies and NFTs, but wavelet coherence analysis indicates co-movement between the two sets of markets.

This article explores the effect of uncertainty on the cryptocurrency market. Previous work has been limited to analyzing the effect of uncertainty on Bitcoin. We depart from the previous literature by focusing on top 25 cryptocurrencies and find that the cryptocurrency market can serve as a strong hedge against geopolitical risks in most cases, but it could be considered a weak hedge and safe haven against economic policy uncertainty during a bull market. Notably, the cryptocurrency market reacts to uncertainty differently, depending on the type of uncertainty. Overall, our findings suggest t...

A stochastic neural network model based on the random walk theory is proposed for Cryptocurrency price prediction that induces layer-wise randomness into the observed feature activations of neural networks to simulate market volatility.

The adverse effects of the high-power energy consumption by cryptocurrencies on the environment and sustainability have raised the interest of a large body of policymakers and market participants. We apply a network approach to investigate the dependency across clean energy, green markets, and cryptocurrencies from 1 January 2018 to 30 November 2021. Our results indicate that sustainable investments, particularly DJSI and ESGL, play a pivotal role in the network system during the COVID-19 crisis. We find that green bonds are the least integrated with the other financial markets, suggesting the...