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雷达卡
英文标题：
《Modeling and Simulation of the Economics of Mining in the Bitcoin Market》
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作者：
Luisanna Cocco and Michele Marchesi
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最新提交年份：
2016
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英文摘要：
In January 3, 2009, Satoshi Nakamoto gave rise to the \"Bitcoin Block Chain\" creating the first block of the chain hashing on his computers central processing unit (CPU). Since then, the hash calculations to mine Bitcoin have been getting more and more complex, and consequently the mining hardware evolved to adapt to this increasing difficulty. Three generations of mining hardware have followed the CPU\'s generation. They are GPU\'s, FPGA\'s and ASIC\'s generations. This work presents an agent based artificial market model of the Bitcoin mining process and of the Bitcoin transactions. The goal of this work is to model the economy of the mining process, starting from GPU\'s generation, the first with economic significance. The model reproduces some \"stylized facts\" found in real time price series and some core aspects of the mining business. In particular, the computational experiments performed are able to reproduce the unit root property, the fat tail phenomenon and the volatility clustering of Bitcoin price series. In addition, under proper assumptions, they are able to reproduce the price peak at the end of November 2013, its next fall in April 2014, the generation of Bitcoins, the hashing capability, the power consumption, and the mining hardware and electrical energy expenses of the Bitcoin network.
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中文摘要：
2009年1月3日，Satoshi Nakamoto提出了“比特币区块链”，在他的计算机中央处理器（CPU）上创建了第一个区块链哈希。从那时起，挖掘比特币的哈希计算变得越来越复杂，因此挖掘硬件也在不断进化以适应这一日益增加的困难。三代挖掘硬件紧随CPU的发展。它们是GPU、FPGA和ASIC的代产品。这项工作提出了一个基于代理的比特币挖掘过程和比特币交易的人工市场模型。这项工作的目标是从GPU的产生开始，对采矿过程的经济性进行建模，GPU的产生首先具有经济意义。该模型再现了实时价格序列中发现的一些“程式化事实”以及采矿业务的一些核心方面。特别是，所进行的计算实验能够再现比特币价格序列的单位根特性、胖尾现象和波动率聚类。此外，在适当的假设下，他们能够重现2013年11月底的价格峰值、2014年4月的下一个秋季、比特币的生成、哈希能力、功耗以及比特币网络的采矿硬件和电能费用。
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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