The role of whale investors in the bitcoin market

IF 6.9 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-06-01 DOI:10.1016/j.ribaf.2025.103008

Dehua Shen, Guiqiang Shi

引用次数: 0

Abstract

To theoretically investigate the role of whale investors in the Bitcoin market, we construct an Artificial Bitcoin Market (ABM). The ABM reproduces stylized facts observed in the real Bitcoin market, such as fat tails, volatility clustering, autocorrelation, and long memory. We find that as the proportion of whale investors increases, market volatility rises sharply. Specifically, in a small-world network, when the proportion of whale investors increases from 1 % to 6 %, the daily volatility increases by 104 %. This highlights the significant role of whale investors in the Bitcoin market and suggests that regulators should enhance oversight of influential investors. As the share of such investors increases, the market may exhibit more unpredictable and complex characteristics, which, in turn, could profoundly impact market dynamics and pose challenges to market stability.

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鲸鱼投资者在比特币市场中的作用

为了从理论上考察鲸鱼投资者在比特币市场中的作用，我们构建了一个人工比特币市场（ABM）。ABM重现了在真实比特币市场中观察到的程式化事实，如肥尾、波动聚类、自相关和长记忆。我们发现，随着鲸鱼投资者比例的增加，市场波动性急剧上升。具体来说，在小世界网络中，当鲸鱼投资者的比例从1 %增加到6 %时，日波动率增加104 %。这凸显了鲸鱼投资者在比特币市场中的重要作用，并建议监管机构加强对有影响力的投资者的监督。随着这类投资者比例的增加，市场可能会表现出更加不可预测和复杂的特征，这反过来又可能深刻影响市场动态，并对市场稳定构成挑战。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance