比特币交易网络结构演化特征与比特币价格波动的非对称联动研究

管理评论 ›› 2024, Vol. 36 ›› Issue (8): 39-51.

• 经济与金融管理 • 上一篇

比特币交易网络结构演化特征与比特币价格波动的非对称联动研究

张文^1,2, 谢锐^1,2, 余乐安³, 李健^1,2

1. 北京工业大学经济与管理学院, 北京 100124;
2. 北京工业大学区块链研究中心, 北京 100124;
3. 四川大学商学院, 成都 610041

收稿日期:2020-07-16 发布日期:2024-09-03
作者简介:张文，北京工业大学经济与管理学院教授，博士生导师，博士;谢锐，北京工业大学经济与管理学院博士研究生;余乐安，四川大学商学院教授，博士生导师，博士;李健(通讯作者)，北京工业大学经济与管理学院教授，博士生导师，博士。
基金资助:
国家自然科学基金重点项目(71932002)；国家自然科学基金面上项目(72174018)；北京市自然科学基金项目(9222001；9244021)。

Asymmetric Linkage Analysis between Bitcoin Transaction Network Structure Evolution and Bitcoin Price Fluctuation

Zhang Wen^1,2, Xie Rui^1,2, Yu Lean³, Li Jian^1,2

1. College of Economics and Management, Beijing University of Technology, Beijing 100124;
2. Blockchain Center at Beijing University of Technology, Beijing 100124;
3. Business School, Sichuan University, Chengdu 610041

Received:2020-07-16 Published:2024-09-03

摘要/Abstract

摘要： 作为当前最具影响力的数字加密货币,比特币的价格机制一直是世界各国学者们关注的焦点。本文基于异构网络分析理论,利用2015年1月1日-2018年7月31日共计1307天的比特币交易数据构建比特币交易网络,并采用序列相关分析、长期协整检验、线性回归和门限回归模型分析比特币交易网络结构演化特征与比特币价格的联动机制。研究发现:比特币交易网络中的交易节点数、地址节点数、地址节点平均余额、地址网络直径对比特币价格具有正向联动效应,网络密度对比特币价格具有负向联动效应。当比特币价格处于低于和高于4360美元两种不同情况时,网络结构演化特征对价格的联动影响具有显著的非对称性,并且当价格高于4360美元时,网络结构演化特征对价格的影响更加显著。

关键词: 数字加密货币, 比特币价格波动, 异构网络分析, 相关分析, 非对称联动分析

Abstract: Bitcoin is the most influential digital cryptocurrency of the time and its price mechanism has attracted much attention from researchers in the world. Based on the heterogeneous network theory, this paper uses Bitcoin transaction data of 1,307 days from 1 January 2015 to 31 July 2018 to construct a Bitcoin transaction evolution network and, applies long-term series correlation analysis, cointegration test, linear regression and threshold regression model to analyze the linkage relationship between the structure evolution of Bitcoin heterogeneous transaction network and Bitcoin price fluctuation. The research findings are as follows. First, the evolution of number of transactions, number of addresses, average balance of addresses and network diameter has positive linkage effects on the fluctuation of Bitcoin price. Second, the linkage effect is asymmetric in different price ranges:when Bitcoin price is below or above $ 4,360, there is a significant difference on the linkage effect between network structure evolution and price fluctuation as the former has a significantly greater impact on the price fluctuation than the latter.

Key words: digital cryptocurrency, Bitcoin pricing, heterogeneous network analysis, correlation analysis, asymmetric linkage analysis

张文, 谢锐, 余乐安, 李健. 比特币交易网络结构演化特征与比特币价格波动的非对称联动研究[J]. 管理评论, 2024, 36(8): 39-51.

Zhang Wen, Xie Rui, Yu Lean, Li Jian. Asymmetric Linkage Analysis between Bitcoin Transaction Network Structure Evolution and Bitcoin Price Fluctuation[J]. Management Review, 2024, 36(8): 39-51.

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比特币交易网络结构演化特征与比特币价格波动的非对称联动研究

Asymmetric Linkage Analysis between Bitcoin Transaction Network Structure Evolution and Bitcoin Price Fluctuation

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