英文标题：
《The Bitcoin price formation: Beyond the fundamental sources》
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作者：
Jamal Bouoiyour (1), Refk Selmi (1) ((1) CATT)
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最新提交年份：
2017
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英文摘要：
Much significant research has been done to investigate various facets of the link between Bitcoin price and its fundamental sources. This study goes beyond by looking into least to most influential factors-across the fundamental, macroeconomic, financial, speculative and technical determinants as well as the 2016 events-which drove the value of Bitcoin in times of economic and geopolitical chaos. We use a Bayesian quantile regression to inspect how the structure of dependence of Bitcoin price and its determinants varies across the entire conditional distribution of Bitcoin price movements. In doing so, three groups of determinants were derived. The use of Bitcoin in trade and the uncertainty surrounding China\'s deepening slowdown, Brexit and India\'s demonetization were found to be the most potential contributors of Bitcoin price when the market is improving. The intense anxiety over Donald Trump being the president of United States was shown to be a positive determinant pushing up the price of Bitcoin when the market is functioning around the normal mode. The velocity of bitcoins in circulation, the gold price, the Venezuelan currency demonetization and the hash rate were found to be the fundamentals influencing the Bitcoin price when the market is heading into decline.
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中文摘要：
为了研究比特币价格与其基本来源之间联系的各个方面，已经进行了许多重要的研究。此外，本研究还考察了基本面、宏观经济、金融、投机和技术决定因素中影响最小到最大的因素，以及2016年在经济和地缘政治混乱时期推动比特币价值的事件。我们使用贝叶斯分位数回归来检验比特币价格的依赖结构及其决定因素在整个比特币价格变动的条件分布中是如何变化的。在此过程中，得出了三组决定因素。人们发现，当市场好转时，比特币在贸易中的使用以及围绕中国不断加深的经济放缓、英国脱欧和印度的非货币化的不确定性是比特币价格的最潜在因素。唐纳德·特朗普（DonaldTrump）当选美国总统的强烈焦虑被证明是推动比特币价格上涨的积极决定因素，因为比特币市场正以正常模式运行。研究发现，比特币的流通速度、黄金价格、委内瑞拉货币的非流通化和散列率是影响比特币价格的基本因素，而当市场走向下跌时。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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