2022/03/30 by Rui Luo, Vikram Krishnamurthy, Luo, Rui +3
Mathematics · #Applications (stat.AP) #FOS: Computer and information sciences #Networking and Internet Architecture (cs.NI) #Point processes and geometric inequalities
paper · pdf · doi:10.48550/arxiv.2203.16666
openalex publication_date 2022/03/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.