Limits of Transparency in Blockchain.info’s Bitcoin Price Index
Summary
The document asks how Blockchain.info’s Bitcoin Market Price (BMP), an aggregate USD price for Bitcoin, is constructed. The author wants to know which exchanges contribute, whether their prices are weighted by trading volume, whether non-USD trades are converted into dollars, which exchange rates are used, and how frequently the index updates. The motivation is to use the series in a univariate GARCH analysis of Bitcoin–USD volatility.
The answer says that the calculation details may not be public and points readers toward other price benchmarks that provide more information about their methodologies. It offers no formula, data comparison, or evidence establishing how BMP itself is calculated. The central practical lesson is to verify a benchmark’s construction before using it as a research input; the response leaves all the specific questions about BMP unresolved.
Key ideas
- The document frames BMP as an aggregate USD Bitcoin price and asks how its constituent prices and conversions are determined.
- The author considers the index as an input to a Bitcoin–USD volatility analysis using GARCH methods.
- The response suggests that exact construction details may not be publicly available.
- Alternative price benchmarks may disclose more about their calculation methods.
Tags
Full text
# How is the Blockchain.info Bitcoin Market Price Calculated? # How is the Blockchain.info Bitcoin Market Price Calculated? I am about to apply traditional univariate GARCH tools to analyze the volatility of the Bitcoin - US Dollar exchange rate. The index that I would like to investigate is the Bitcoin Market Price (BMP) that is reported by the Blockchain.info information provider at this link: https://blockchain.info/en/charts/market-price. The data can be freely downloaded into a CSV file by clicking at the button that appears at the bottom of the page. The above page's headline states that the BMP is an "average USD market price across major bitcoin exchanges" which, I guess, are those tracked at this link https://blockchain.info/markets. My question is: Is there any available detailed information on how the BMP is calculated? It would be of particular interest to me to know the following: a) Is the BMP calculated with the exchange rates that are tracked at the second link above? b) Is the BMP weighed by the four exchanges' respective transaction volumes? c) Are Bitcoin trades other than those with US Dollar included in the BMP? d) If so, which (official/unofficial) fiat exchange rates are used to state the BMP in US Dollar terms? e) How often is the BMP updated during any calendar day? ## Answer by askmike (score 0, accepted) https://quant.stackexchange.com/a/33755 I am pretty sure this information is not public. I would suggest looking at other bitcoin sources that have some information on how they formulate price: - Tradeblock's XBX (more information) - bitcoin average (calculation information) For every price source I doubt that you will find the exact details of how it is calculated.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.