We discuss the problem of classifying Bitcoin as a currency or commodity and approach it from a market perspective. Following theory and recent empirical evidence on market dynamics of commodities and exchange rates, we construct a number of features and em- ploy both machine learning technology and classical econometric methods to identify the differences in market dynamics of both asset classes. Our results strongly imply volatility and liquidity as differentiators, as well as show strong predictability of the asset class of a given market independently of the instrument through which it is traded. We finally conclude that Bitcoin is almost universally identified as a commodity, which is in line with past evidence and models, but provides little evidence on theories which consider it as a new asset class with properties of both asset classes.
|Educations||MSc in Advanced Economics and Finance, (Graduate Programme) Final Thesis|
|Number of pages||208|