Probably not the usual post here, but let's see what the response will be.
A few things first to avoid any misunderstandings. Don't expect to find mathematical models or "theory" for bitcoin price predictions here. I am not into crypto as an investor, trader or speculator and I don't even own crypto. I have MSc in mathematics and I work as a software engineer in fintech. Until recently I didn't have much interest in crypto even with big hype in Jan 2018 but that changed a few weeks ago when a colleague of mine talked passionately about her work on crypto models and even more about some sociopolitical implications. I mostly work on P2P lending models and was looking for a new hobby possibly related with my work. So far I've read about 20 papers on crypto and have 15+ more in the queue. I would like to share a few papers that I really enjoyed. The goal of this post is not to focus on any conclusions and/or suggestion in these papers. If you have read any paper in economics you know that for every presented model there is another paper with an "anti-model". It's just what we know and models are just that - imperfect simplifications of the reality. However I always enjoy good math and hope to find other like-minded people here. So, here are some papers I really enjoyed.
Modeling Bitcoin Price and Bubbles
https://www.intechopen.com/books/blockchain-and-cryptocurrencies/modeling-bitcoin-price-and-bubblesYou don't need a paper to know there is a relation between an asset price and investor attention
However they presented really good math. While using Brownian motion is nothing new the way they construct the space constraints was novel to me. Also, the mathematical part of the financial bubbles theory was a good refresher though I find the suggested models kind of weak (and they actually are not advertised as very rigid).
An Analysis of Bitcoin’s Price Dynamics
https://www.mdpi.com/1911-8074/11/4/63This paper is closer to my work mostly because of ARDL. However its particular application is kind of unexpected to me and definitely clever. Ruling out hashrate as a price factor is kind of expected though some may find it counter-intuitive. Not much math in there, but very rigid modeling and the best treat - good explainability which is rare. I really like such empirical research.
What's next?
AT2: Asynchronous Trustworthy Transfers
https://arxiv.org/abs/1812.10844I had this paper in my queue for some time. It comes highly recommended and for practical software engineers like me it's a novel approach for (part of the) online payments. The research is very new and sheds some light on consensus algorithm which is the very heart of bitcoin (and crypto in general).
Feel free to share math papers you enjoyed.
Cheers!
