Extremity in bitcoin market activity

In this paper we provide measurements of the underlying complex dynamic structure in bitcoin market activity. More specifically, we present empirical estimates of extremity (large fluctuations) in bitcoin market action variables such as price returns, trading volume, and number of trades using a block maxima estimation for the tail exponent. We juxtapose the estimated scale exponents in bitcoin market dynamics to those for traditional financial assets as well as to the theoretical predictions for stock market activity variables as modelled by Gabaix et al. (2006). Based on a dynamic stability analysis, the tail exponent for bitcoin price returns appears to have undergone a substantial temporal shift in the sample period.