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Hawkes Process Modeling of Block Arrivals in Bitcoin Blockchain

The paper constructs a multi-variate Hawkes process model of Bitcoin block arrivals and price jumps. Hawkes processes are selfexciting point processes that can capture the self- and cross-excitation effects of block mining and Bitcoin price volatility. We use publicly available blockchain datasets to estimate the model parameters via maximum likelihood estimation. The results show that Bitcoin price volatility boost block mining rate and Bitcoin investment return demonstrates mean reversion. Quantile-Quantile plots show that the proposed Hawkes process model is a better fit to the blockchain datasets than a Poisson process model.

preprint2022arXivOpen access
Rui LuoVikram KrishnamurthyErik Blasch
Networking and Internet ArchitectureApplications
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Open access3 authors2 topics
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Rui LuoVikram KrishnamurthyErik Blasch

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