The nice thing about bitcoin is that it generates partially anonymous data about every single transaction. Can this data be used to gain insight about real-world markets? Or are there some fundamental differences that cannot be accounted for? If this data can be used, does anybody have any references on academic papers that use the bitcoin data?
There are no academic papers on Bitcoin market behavior.
If Bitcoin or another peer-to-peer currency ever develops a significant closed economy, then it would be a rich source of information on the behavior of markets and economies, as the transaction timing, value and locations (for both the sender and receiver in a transaction) of Bitcoin transactions is publicly broadcasted -and in the case of timing and value, already being recorded in the block chain.
Furthermore, information about the full Bitcoin transaction history of each pseudonymous individual can be deduced through network analysis techniques.
While Bitcoin is reserved for niche use and doesn't form a closed economy though, the data from the transaction history is of limited use for studying real world market and economic behavior.
Also, in the future the visibility of Bitcoin transaction data could be reduced if many participants in the Bitcoin economy begin to rely on private layers built on top of the Bitcoin network to conduct their transactions through, which is likely to happen given the implications for privacy that visible transactions create.
I'm not aware of any serious studies on the topic but I have seen folks on the forum talking about how bitcoin price seems to correlate with the google trends data on bitcoin-related searches. Compare: Google Trends and MtGox Price.
So there's sort of a study on popularity/price ratios, though it's hardly been conducted with any sort of scientific rigor. I'd assume that there are many such studies to be found, the limits from the bitcoin side of the fence are quite few so I'd say the upper limit is your imagination.
This is still a fledgling currency. You can see how Bitcoin lacks credibility by listening to the recent publication on NPR. Overall there is a great deal of misinformation, and lack of credible citations.
It makes for a good economics thesis, there are plenty of hypotheses to explore!
The fact that the blockchain records every single bitcoin transaction does mean that it would probably be possible to analyse the data to infer some real market information.
Similar tools and network analysis methods as used in the Reid/Harrigan paper on anonymity in the Bitcoin system could also be used to glean market information from the Bitcoin transaction record. One of the authors (Fergal Reid) of this paper discusses some of these possibilities in this forum post on the bitcointalk.org site. One of the speculated ideas is that it could be possible to identify flows of bitcoins to the exchanges and thus be possibly able to predict if a sell-off is imminent based on a larger than normal volume of bitcoins being moved to the exchanges.
There is a paper by Fergal Reid and Martin Harrigan of University College Dublin, Ireland. PDF can be downloaded from this page. It's called "An Analysis of Anonymity in the Bitcoin System".
It describes, amongst other things, methods and tools for building a Transaction Network and User Network from the data taken from the blockchain and from external sources.