Bitcoin Price Anomalies: P2P Trading on LocalBitcoins

IF 0.4 Q4 BUSINESS, FINANCE

Journal of Alternative Investments Pub Date : 2019-06-15 DOI:10.3905/JAI.V22I1.4816

M. Holub, Jackie Johnson

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引用次数: 1

Abstract

The purpose of this paper is to understand the high Australian dollar Bitcoin prices on LocalBitcoins (localbitcoins.com), which appear to be out of line with market prices. The findings indicate that the price driver is not a reaction to market conditions, but a consequence of the high risk payment methods deemed acceptable by LocalBitcoins. With sellers being allowed to offer Bitcoins in exchange for gift card codes, Bitcoin is traded at four to five times the market price. These trades are typically small in value and the construction of a value-weighted daily Bitcoin price series reveals more accurately LocalBitcoins’ daily price movements. Benchmarking against CoinDesk’s Bitcoin Price Index (BPI) shows that LocalBitcoins trades can fall above or below this benchmark. When viewed in relation to the LocalBitcoins two market system, a value-weighted price can be calculated to determine a daily premium and discount. Value-weighted prices can also be used to compare trades on LocalBitcoins with the more traditional Bitcoin exchange BTC Markets. These comparisons reveal that prices on LocalBitcoins are not more volatile than prices on BTC Markets or the BPI. It is recommended that any analysis of price behavior on LocalBitcoins take into account the dollar value of the trades to address the adverse impact that high price-low value trades have on volatility. Otherwise, a conclusion of high volatility will continue to persist.

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比特币价格异常:本地比特币的P2P交易

本文的目的是了解LocalBitcoins（localbitcoin.com）上澳元比特币的高价格，这似乎与市场价格不符。研究结果表明，价格驱动因素不是对市场条件的反应，而是本地比特币认为可以接受的高风险支付方式的结果。由于卖家可以提供比特币来换取礼品卡代码，比特币的交易价格是市场价格的四到五倍。这些交易通常价值较小，构建价值加权的每日比特币价格序列可以更准确地揭示本地比特币的每日价格走势。根据CoinDesk的比特币价格指数（BPI）进行的基准测试表明，本地比特币交易可能会高于或低于该基准。当与LocalBitcoins双市场系统相关时，可以计算价值加权价格来确定每日溢价和折扣。价值加权价格也可以用于比较本地比特币与更传统的比特币交易所BTC Markets的交易。这些比较表明，本地比特币的价格并不比BTC Markets或BPI的价格更具波动性。建议对本地比特币价格行为的任何分析都要考虑交易的美元价值，以解决高价低值交易对波动性的不利影响。否则，高波动性的结论将继续存在。

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

Journal of Alternative Investments BUSINESS, FINANCE-

CiteScore

1.50

自引率

14.30%

发文量

期刊介绍： The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices