英文标题：
《Bitcoin Risk Modeling with Blockchain Graphs》
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作者：
Cuneyt Akcora, Matthew Dixon, Yulia Gel and Murat Kantarcioglu
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最新提交年份：
2018
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英文摘要：
A key challenge for Bitcoin cryptocurrency holders, such as startups using ICOs to raise funding, is managing their FX risk. Specifically, a misinformed decision to convert Bitcoin to fiat currency could, by itself, cost USD millions. In contrast to financial exchanges, Blockchain based crypto-currencies expose the entire transaction history to the public. By processing all transactions, we model the network with a high fidelity graph so that it is possible to characterize how the flow of information in the network evolves over time. We demonstrate how this data representation permits a new form of microstructure modeling - with the emphasis on the topological network structures to study the role of users, entities and their interactions in formation and dynamics of crypto-currency investment risk. In particular, we identify certain sub-graphs (\'chainlets\') that exhibit predictive influence on Bitcoin price and volatility, and characterize the types of chainlets that signify extreme losses.
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中文摘要：
比特币加密货币持有者面临的一个关键挑战是如何管理外汇风险，例如利用ICO筹集资金的初创公司。具体而言，将比特币转换为法定货币的错误决策本身可能会导致数百万美元的损失。与金融交易所不同，基于区块链的加密货币向公众公开了整个交易历史。通过处理所有事务，我们用高保真图对网络进行建模，以便能够描述网络中的信息流是如何随时间演化的。我们展示了这种数据表示如何允许一种新形式的微观结构建模，重点是拓扑网络结构，以研究用户、实体及其相互作用在加密货币投资风险形成和动态中的作用。特别是，我们确定了对比特币价格和波动性具有预测影响的某些子图（“小链”），并描述了表示极端损失的小链的类型。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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