financeФинансы: теория и практика/Finance: Theory and PracticeFinance: Theory and Practice2587-56712587-7089Financial University under The Government of Russian Federation10.26794/2587-5671-2020-24-3-81-91finance-1010Research ArticleКРИПТОВАЛЮТЫCRYPTOCURRENCYРазвитие рынка криптовалют: метод ХерстаCryptocurrency Market Development: Hurst Methodhttps://orcid.org/0000-0003-2478-0307МихайловА. Ю.MikhailovA. Yu.

Алексей Юрьевич Михайлов — кандидат экономических наук, заместитель директора Научно-исследовательского центра денежно-кредитных отношений

Москва

Aleksei Yu. Mikhailov — Cand. Sci. (Econ.), Deputy Director Research Center of Monetary Relations

Moscow

AYUMihajlov@fa.ruФинансовый университетРоссияFinancial UniversityRussian Federation2020070620202438191Copyright © Михайлов А.Ю., 20202020Михайлов А.Ю.Mikhailov A.Y.Данная работа распространяется под лицензией Creative Commons Attribution 4.0.This work is licensed under a Creative Commons Attribution 4.0 License.https://financetp.fa.ru/jour/article/view/1010биткойнлайткойндашрипплденежно-кредитная политикаликвидностьволатильностьдоходностьметод Херстакредиты в криптовалютеBitcoinLitecoinDashRipplemonetary policyliquidityvolatilityprofitabilityHurst methodcrypto loansСтатья подготовлена по результатам исследований, выполненных за счет бюджетных средств по государственному заданию Финуниверситету.The article is based on the results of research carried out at the expense of budget funds on the state task of the Financial University.ReferencesHenry C. S., Huynh K. P., Nicholls G. Bitcoin awareness and usage in Canada. Journal of Digital Banking. 2018;2(4):311–337.Henry C. S., Huynh K. P., Nicholls G. Bitcoin awareness and usage in Canada. Journal of Digital Banking. 2018;2(4):311–337.Böhme R., Christin N., Edelman B., Moore T. Bitcoin: Economics, technology, and governance. Journal of Economic Perspectives. 2015;29(2):213–238. DOI: 10.1257/jep.29.2.213Böhme R., Christin N., Edelman B., Moore T. Bitcoin: Economics, technology, and governance. Journal of Economic Perspectives. 2015;29(2):213–238. DOI: 10.1257/jep.29.2.213Antonopoulos A. M. Mastering Bitcoin: Unlocking digital cryptocurrencies. Sebastopol, CA: O’Reilly Media, Inc.; 2014.Antonopoulos A. M. Mastering Bitcoin: Unlocking digital cryptocurrencies. Sebastopol, CA: O’Reilly Media, Inc.; 2014.Kroll J. A., Davey I. C., Felten E. W. The economics of Bitcoin mining, or Bitcoin in the presence of adversaries. In: 12 th Workshop on the economics of information security — WEIS2013 (Washington, DC, June 11–12, 2013). Washington, DC: Georgetown University; 2013. URL: https://www.econinfosec.org/archive/weis2013/papers/KrollDaveyFeltenWEIS2013.pdfKroll J. A., Davey I. C., Felten E. W. The economics of Bitcoin mining, or Bitcoin in the presence of adversaries. In: 12 th Workshop on the economics of information security — WEIS2013 (Washington, DC, June 11–12, 2013). Washington, DC: Georgetown University; 2013. URL: https://www.econinfosec.org/archive/weis2013/papers/KrollDaveyFeltenWEIS2013.pdfJavarone M. A., Wright C. S. From Bitcoin to Bitcoin cash: A network analysis. In: CryBlock’18: Proc. 1 st Workshop on cryptocurrencies and Blockchains for distributed systems (Munich, June 15, 2018). New York: Association for Computing Machinery; 2018:77–81. DOI: 10.1145/3211933.3211947Javarone M. A., Wright C. S. From Bitcoin to Bitcoin cash: A network analysis. In: CryBlock’18: Proc. 1 st Workshop on cryptocurrencies and Blockchains for distributed systems (Munich, June 15, 2018). New York: Association for Computing Machinery; 2018:77–81. DOI: 10.1145/3211933.3211947Swan M. Blockchain: Blueprint for a new economy. Sebastopol, CA: O’Reilly Media, Inc.; 2015.Swan M. Blockchain: Blueprint for a new economy. Sebastopol, CA: O’Reilly Media, Inc.; 2015.Kristoufek L. What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PLoS ONE. 2015;10(4). DOI: 10.1371/journal.pone.0123923Kristoufek L. What are the main drivers of the Bitcoin price? Evidence from wavelet coherence analysis. PLoS ONE. 2015;10(4). DOI: 10.1371/journal.pone.0123923Ciaian P., Rajcaniova M, Kancs D. The economics of BitCoin price formation. Applied Economics. 2016;48(19):1799–1815. DOI: 10.1080/00036846.2015.1109038Ciaian P., Rajcaniova M, Kancs D. The economics of BitCoin price formation. Applied Economics. 2016;48(19):1799–1815. DOI: 10.1080/00036846.2015.1109038ElBahrawy A., Alessandretti L., Kandler A., Pastor-Satorras R., Baronchelli A. Evolutionary dynamics of the cryptocurrency market. Royal Society Open Science. 2017;4(11). DOI: 10.1098/rsos.170623ElBahrawy A., Alessandretti L., Kandler A., Pastor-Satorras R., Baronchelli A. Evolutionary dynamics of the cryptocurrency market. Royal Society Open Science. 2017;4(11). DOI: 10.1098/rsos.170623Guo T., Antulov-Fantulin N. Predicting short-term Bitcoin price fluctuations from buy and sell orders. 2018. URL: https://www.researchgate.net/publication/323141771_Predicting_short-term_Bitcoin_price_fluctuations_from_buy_and_sell_ordersGuo T., Antulov-Fantulin N. Predicting short-term Bitcoin price fluctuations from buy and sell orders. 2018. URL: https://www.researchgate.net/publication/323141771_Predicting_short-term_Bitcoin_price_fluctuations_from_buy_and_sell_ordersEvans D. Economic aspects of Bitcoin and other decentralized public-ledger currency platforms. CoaseSandor Institute for Law & Economics Working Paper. 2014;(685). URL: https://chicagounbound.uchicago.edu/cgi/viewcontent.cgi?referer=&httpsredir=1&article=2349&context=law_and_economicsEvans D. Economic aspects of Bitcoin and other decentralized public-ledger currency platforms. CoaseSandor Institute for Law & Economics Working Paper. 2014;(685). URL: https://chicagounbound.uchicago.edu/cgi/viewcontent.cgi?referer=&httpsredir=1&article=2349&context=law_and_economicsKrause M. Bitcoin: Implications for the developing world. CMC Senior Theses Paper. 2016;(1261). URL: https://pdfs.semanticscholar.org/95b1/b3059752517e0da4ff82b1777707b8bb4f67.pdfKrause M. Bitcoin: Implications for the developing world. CMC Senior Theses Paper. 2016;(1261). URL: https://pdfs.semanticscholar.org/95b1/b3059752517e0da4ff82b1777707b8bb4f67.pdfReid F., Harrigan M. An analysis of anonymity in the Bitcoin system. In: Altshuler Y., Elovici Y. et al., eds. Security and privacy in social networks. New York: Springer-Verlag; 2013:197–223.Reid F., Harrigan M. An analysis of anonymity in the Bitcoin system. In: Altshuler Y., Elovici Y. et al., eds. Security and privacy in social networks. New York: Springer-Verlag; 2013:197–223.Tasca P., Hayes A., Liu S. The evolution of the Bitcoin economy: Extracting and analyzing the network of payment relationships. Journal of Risk Finance. 2018;19(2):94–126. DOI: 10.1108/JRF-03–2017–0059Tasca P., Hayes A., Liu S. The evolution of the Bitcoin economy: Extracting and analyzing the network of payment relationships. Journal of Risk Finance. 2018;19(2):94–126. DOI: 10.1108/JRF-03–2017–0059Foley S., Karlsen J., Putnin T. J. Sex, drugs, and Bitcoin: How much illegal activity is financed through cryptocurrencies? Review of Financial Studies. 2019;32(5):1798–1853. DOI: 10.1093/rfs/hhz015Foley S., Karlsen J., Putnin T. J. Sex, drugs, and Bitcoin: How much illegal activity is financed through cryptocurrencies? Review of Financial Studies. 2019;32(5):1798–1853. DOI: 10.1093/rfs/hhz015Lischke M., Fabian B. Analyzing the Bitcoin network: The first four years. Future Internet. 2016;8(1). DOI: 10.3390/fi8010007Lischke M., Fabian B. Analyzing the Bitcoin network: The first four years. Future Internet. 2016;8(1). DOI: 10.3390/fi8010007Androulaki E., Karame G. O., Roeschlin M., Scherer T., Capkun S. Evaluating user privacy in Bitcoin. In: Sadeghi A. R., ed. International conference on financial cryptography and data security — FC2013 (Okinawa, Apr. 1–5, 2013). Berlin, Heidelberg: Springer-Verlag; 2013:34–51. URL: https://eprint.iacr.org/2012/596.pdfAndroulaki E., Karame G. O., Roeschlin M., Scherer T., Capkun S. Evaluating user privacy in Bitcoin. In: Sadeghi A. R., ed. International conference on financial cryptography and data security — FC2013 (Okinawa, Apr. 1–5, 2013). Berlin, Heidelberg: Springer-Verlag; 2013:34–51. URL: https://eprint.iacr.org/2012/596.pdfNyangarika А., Mikhaylov А., Richter U. Influence oil price towards economic indicators in Russia. International Journal of Energy Economics and Policy. 2019;9(1):123–129. DOI: 10.32479/ijeep.6807Nyangarika А., Mikhaylov А., Richter U. Influence oil price towards economic indicators in Russia. International Journal of Energy Economics and Policy. 2019;9(1):123–129. DOI: 10.32479/ijeep.6807Nyangarika А., Mikhaylov А., Richter U. Oil price factors: Forecasting on the base of modified autoregressive integrated moving average model. International Journal of Energy Economics and Policy. 2019;9(1):149–159. DOI: 10.32479/ijeep.6812Nyangarika А., Mikhaylov А., Richter U. Oil price factors: Forecasting on the base of modified autoregressive integrated moving average model. International Journal of Energy Economics and Policy. 2019;9(1):149–159. DOI: 10.32479/ijeep.6812Mikhaylov A. Volatility spillover effect between stock and exchange rate in oil exporting countries. International Journal of Energy Economics and Policy. 2018;8(3):321–326. URL: http://zbw.eu/econisarchiv/bitstream/handle/11159/2130/1028136102.pdf?sequence=1&isAllowed=yMikhaylov A. Volatility spillover effect between stock and exchange rate in oil exporting countries. International Journal of Energy Economics and Policy. 2018;8(3):321–326. URL: http://zbw.eu/econisarchiv/bitstream/handle/11159/2130/1028136102.pdf?sequence=1&isAllowed=yKoshy P., Koshy D., McDaniel P. An analysis of anonymity in Bitcoin using P2P network traffic. In: Christin N., Safavi-Naini R., eds. International conference on financial cryptography and data security FC2014 (Christ Church, Barbados, Mar. 3–7, 2014). Berlin, Heidelberg: Springer-Verlag; 2014:469–485. URL: https://www.freehaven.net/anonbib/cache/bitcoin-p2p-anon.pdfKoshy P., Koshy D., McDaniel P. An analysis of anonymity in Bitcoin using P2P network traffic. In: Christin N., Safavi-Naini R., eds. International conference on financial cryptography and data security FC2014 (Christ Church, Barbados, Mar. 3–7, 2014). Berlin, Heidelberg: Springer-Verlag; 2014:469–485. URL: https://www.freehaven.net/anonbib/cache/bitcoin-p2p-anon.pdfBiryukov A., Khovratovich D., Pustogarov I. Deanonymisation of clients in Bitcoin P2P network. In: Proc. 2014 ACM SIGSAC conference on computer and communications security. New York: Association for Computing Machinery; 2014:15–29. DOI: 10.1145/2660267.2660379Biryukov A., Khovratovich D., Pustogarov I. Deanonymisation of clients in Bitcoin P2P network. In: Proc. 2014 ACM SIGSAC conference on computer and communications security. New York: Association for Computing Machinery; 2014:15–29. DOI: 10.1145/2660267.2660379Decker C., Wattenhofer R. Bitcoin transaction malleability and MtGox. In: Kutyłowski M., Vaidya J., eds. 19 th European symposium on research in computer security — ESORICS2014 (Wroclaw, Sept. 7–11, 2014). Cham: Springer-Verlag; 2014:313–326. DOI: 10.1007/978–3–319–11212–1_18Decker C., Wattenhofer R. Bitcoin transaction malleability and MtGox. In: Kutyłowski M., Vaidya J., eds. 19 th European symposium on research in computer security — ESORICS2014 (Wroclaw, Sept. 7–11, 2014). Cham: Springer-Verlag; 2014:313–326. DOI: 10.1007/978–3–319–11212–1_18Nick J. D. Data-driven de-anonymization in Bitcoin. Master’s thesis. 2015. URL: https://jonasnick.github.io/papers/thesis.pdfNick J. D. Data-driven de-anonymization in Bitcoin. Master’s thesis. 2015. URL: https://jonasnick.github.io/papers/thesis.pdfPuri V. Decrypting Bitcoin prices and adoption rates using Google search. CMC Senior Theses Paper. 2016;(1418). URL: https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=2379&context=cmc_thesesPuri V. Decrypting Bitcoin prices and adoption rates using Google search. CMC Senior Theses Paper. 2016;(1418). URL: https://scholarship.claremont.edu/cgi/viewcontent.cgi?article=2379&context=cmc_thesesNeudecker T., Hartenstein H. Could network information facilitate address clustering in Bitcoin? In: Brenner M., Rohloff K. et al., eds. International conference on financial cryptography and data security FC2017 (Sliema, Malta, Apr. 3–7, 2017). Cham: Springer-Verlag; 2017:155–169. URL: https://fc17.ifca.ai/bitcoin/papers/bitcoin17-final11.pdfNeudecker T., Hartenstein H. Could network information facilitate address clustering in Bitcoin? In: Brenner M., Rohloff K. et al., eds. International conference on financial cryptography and data security FC2017 (Sliema, Malta, Apr. 3–7, 2017). Cham: Springer-Verlag; 2017:155–169. URL: https://fc17.ifca.ai/bitcoin/papers/bitcoin17-final11.pdfDoll A., Chagani S., Kranch M., Murti, V. btctrackr: Finding and displaying clusters in Bitcoin. 2014. URL: https://www.cs.princeton.edu/~arvindn/teaching/spring-2014-privacy-technologies/btctrackr.pdfDoll A., Chagani S., Kranch M., Murti, V. btctrackr: Finding and displaying clusters in Bitcoin. 2014. URL: https://www.cs.princeton.edu/~arvindn/teaching/spring-2014-privacy-technologies/btctrackr.pdfRemy C., Rym B., Matthieu L. Tracking Bitcoin users activity using community detection on a network of weak signals. In: Cherifi C., Cherifi H. et al., eds. 6th International conference on complex networks and their applications — COMPLEX NETWORKS2017 (Lyon, Nov. 29. Dec. 01, 2017). Cham: SpringerVerlag; 2017:166–177. DOI: 10.1007/978–3–319–72150–7_14Remy C., Rym B., Matthieu L. Tracking Bitcoin users activity using community detection on a network of weak signals. In: Cherifi C., Cherifi H. et al., eds. 6th International conference on complex networks and their applications — COMPLEX NETWORKS2017 (Lyon, Nov. 29. Dec. 01, 2017). Cham: SpringerVerlag; 2017:166–177. DOI: 10.1007/978–3–319–72150–7_14Manning C. D., Raghavan P., Schütze H. Introduction to information retrieval. New York: Cambridge University Press; 2008.Manning C. D., Raghavan P., Schütze H. Introduction to information retrieval. New York: Cambridge University Press; 2008.Tinbergen J. Shaping the world economy: Suggestions for an international economic policy. New York: The Twentieth Century Fund; 1962.Tinbergen J. Shaping the world economy: Suggestions for an international economic policy. New York: The Twentieth Century Fund; 1962.Goldberger A. S. The interpretation and estimation of Cobb-Douglas functions. Econometrica. 1968;36(3/4):464–472. DOI: 10.2307/1909517Goldberger A. S. The interpretation and estimation of Cobb-Douglas functions. Econometrica. 1968;36(3/4):464–472. DOI: 10.2307/1909517Bergstrand J. H. The gravity equation in international trade: Some microeconomic foundations and empirical evidence. The Review of Economics and Statistics. 1985;67(3):474–481. DOI: 10.2307/1925976Bergstrand J. H. The gravity equation in international trade: Some microeconomic foundations and empirical evidence. The Review of Economics and Statistics. 1985;67(3):474–481. DOI: 10.2307/1925976Lewer J. J., Van den Berg H. A gravity model of immigration. Economics Letters. 2008;99(1):164–167. DOI: 10.1016/j.econlet.2007.06.019Lewer J. J., Van den Berg H. A gravity model of immigration. Economics Letters. 2008;99(1):164–167. DOI: 10.1016/j.econlet.2007.06.019Carrère C. Revisiting the effects of regional trade agreements on trade flows with proper specification of the gravity model. European Economic Review. 2006;50(2):223–247. DOI: 10.1016/j.euroecorev.2004.06.001Carrère C. Revisiting the effects of regional trade agreements on trade flows with proper specification of the gravity model. European Economic Review. 2006;50(2):223–247. DOI: 10.1016/j.euroecorev.2004.06.001Silva J. S., Tenreyro S. The log of gravity. The Review of Economics and Statistics. 2006;88(4):641–658. DOI: 10.1162/rest.88.4.641Silva J. S., Tenreyro S. The log of gravity. The Review of Economics and Statistics. 2006;88(4):641–658. DOI: 10.1162/rest.88.4.641Hasti T., Tibshirani R., Friedman J. The elements of statistical learning: Data mining, inference, and prediction. 1 st ed. New York: Springer-Verlag; 2001.Hasti T., Tibshirani R., Friedman J. The elements of statistical learning: Data mining, inference, and prediction. 1 st ed. New York: Springer-Verlag; 2001.

The authors declare that there are no conflicts of interest present.