Robustness analysis of Bitcoin confirmation times

Ivo Stoepker; Rowel Gundlach; Stella Kapodistria

doi:10.1145/3466826.3466834

Robustness analysis of Bitcoin confirmation times

Ivo Stoepker, Rowel Gundlach, Stella Kapodistria (Corresponding author)

Onderzoeksoutput: Bijdrage aan tijdschrift › Tijdschriftartikel › Academic › peer review

6 Citaten (Scopus)

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Bitcoin payments require a random amount of time to get confirmed (i.e. to be grouped by the miners into a block and to be added to the Bitcoin blockchain). In [8, 11], the authors propose the modelling of the Bitcoin confirmation time by the so-called time to ruin of the Cramer-Lundberg (CL) model. This provides off-the-shelf results directly aimed at predicting the confirmation time. However, analyses suggest that the data may not fully conform with the CL model assumptions. In this manuscript, we show by means of a robustness analysis that the time to ruin of a CL model is near insensitive to small changes in the model assumptions and illustrate that the proposed heuristic model can be used to accurately predict the confirmation times even when the data deviate (to a small degree) from the model assumptions.

Originele taal-2	Engels
Pagina's (van-tot)	20-23
Aantal pagina's	4
Tijdschrift	Performance Evaluation Review
Volume	48
Nummer van het tijdschrift	4
DOI's	https://doi.org/10.1145/3466826.3466834
Status	Gepubliceerd - 19 mei 2021

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Publisher Copyright:
© 2021 Copyright is held by the owner/author(s).

Financiering

The work of RG and SK is supported by the Netherlands Organisation for Scientific Research (NWO) through Gravitation-grant NETWORKS-024.002.003.

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10.1145/3466826.3466834

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title = "Robustness analysis of Bitcoin confirmation times",

abstract = "Bitcoin payments require a random amount of time to get confirmed (i.e. to be grouped by the miners into a block and to be added to the Bitcoin blockchain). In [8, 11], the authors propose the modelling of the Bitcoin confirmation time by the so-called time to ruin of the Cramer-Lundberg (CL) model. This provides off-the-shelf results directly aimed at predicting the confirmation time. However, analyses suggest that the data may not fully conform with the CL model assumptions. In this manuscript, we show by means of a robustness analysis that the time to ruin of a CL model is near insensitive to small changes in the model assumptions and illustrate that the proposed heuristic model can be used to accurately predict the confirmation times even when the data deviate (to a small degree) from the model assumptions.",

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author = "Ivo Stoepker and Rowel Gundlach and Stella Kapodistria",

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AU - Gundlach, Rowel

AU - Kapodistria, Stella

N1 - Funding Information: The work of RG and SK is supported by the Netherlands Organisation for Scientific Research (NWO) through Gravitation-grant NETWORKS-024.002.003. Publisher Copyright: © 2021 Copyright is held by the owner/author(s).

PY - 2021/5/19

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N2 - Bitcoin payments require a random amount of time to get confirmed (i.e. to be grouped by the miners into a block and to be added to the Bitcoin blockchain). In [8, 11], the authors propose the modelling of the Bitcoin confirmation time by the so-called time to ruin of the Cramer-Lundberg (CL) model. This provides off-the-shelf results directly aimed at predicting the confirmation time. However, analyses suggest that the data may not fully conform with the CL model assumptions. In this manuscript, we show by means of a robustness analysis that the time to ruin of a CL model is near insensitive to small changes in the model assumptions and illustrate that the proposed heuristic model can be used to accurately predict the confirmation times even when the data deviate (to a small degree) from the model assumptions.

AB - Bitcoin payments require a random amount of time to get confirmed (i.e. to be grouped by the miners into a block and to be added to the Bitcoin blockchain). In [8, 11], the authors propose the modelling of the Bitcoin confirmation time by the so-called time to ruin of the Cramer-Lundberg (CL) model. This provides off-the-shelf results directly aimed at predicting the confirmation time. However, analyses suggest that the data may not fully conform with the CL model assumptions. In this manuscript, we show by means of a robustness analysis that the time to ruin of a CL model is near insensitive to small changes in the model assumptions and illustrate that the proposed heuristic model can be used to accurately predict the confirmation times even when the data deviate (to a small degree) from the model assumptions.

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KW - time to ruin

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Robustness analysis of Bitcoin confirmation times

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