Forecasting Bitcoin Price with Graph Chainlets

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dc.contributor.authorAkcora, Cuneyt G.
dc.contributor.authorDey, Asim Kumer
dc.contributor.authorGel, Yulia R.
dc.contributor.authorKantarcioglu, Murat
dc.contributor.utdAuthorAkcora, Cuneyt G.
dc.contributor.utdAuthorDey, Asim Kumer
dc.contributor.utdAuthorGel, Yulia R.
dc.contributor.utdAuthorKantarcioglu, Murat
dc.date.accessioned2019-07-29T22:34:14Z
dc.date.available2019-07-29T22:34:14Z
dc.date.created2018-06-17
dc.descriptionFull text access from Treasures at UT Dallas is restricted to current UTD affiliates (use the provided Link to Article).
dc.description.abstractOver the last couple of years, Bitcoin cryptocurrency and the Blockchain technology that forms the basis of Bitcoin have witnessed a flood of attention. In contrast to fiat currencies used worldwide, the Bitcoin distributed ledger is publicly available by design. This facilitates observing all financial interactions on the network, and analyzing how the network evolves in time. We introduce a novel concept of chainlets, or Bitcoin subgraphs, which allows us to evaluate the local topological structure of the Bitcoin graph over time. Furthermore, we assess the role of chainlets on Bitcoin price formation and dynamics. We investigate the predictive Granger causality of chainlets and identify certain types of chainlets that exhibit the highest predictive influence on Bitcoin price and investment risk.
dc.description.departmentErik Jonsson School of Engineering and Computer Science
dc.description.departmentSchool of Natural Sciences and Mathematics
dc.description.sponsorshipNIH 1R01HG006844, NSF CNS-1111529, CICI-1547324, IIS-1633331, DMS-1736368 and ARO W911NF-17-1-0356.
dc.identifier.bibliographicCitationAkcora, C. G., A. K. Dey, Y. R. Gel, and M. Kantarcioglu. 2018. "Forecasting bitcoin price with graph chainlets." Lecture Notes in Computer Science, 10939: 765-776, doi:10.1007/978-3-319-93040-4_60
dc.identifier.isbn9783319930398
dc.identifier.urihttps://hdl.handle.net/10735.1/6756
dc.identifier.volume10939
dc.language.isoen
dc.publisherSpringer Verlag
dc.relation.isPartOfLecture Notes in Computer Science
dc.relation.urihttp://dx.doi.org/10.1007/978-3-319-93040-4_60
dc.rights©2018 Springer International Publishing AG, part of Springer Nature
dc.subjectCosts, Industrial
dc.subjectData mining
dc.subjectTopology
dc.subjectBitcoin
dc.subjectAsset-liability management
dc.subjectPricing
dc.subjectDigital currency
dc.titleForecasting Bitcoin Price with Graph Chainlets
dc.type.genrearticle

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