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Negative bubbles and shocks in cryptocurrency markets

Fry, John; Cheah, Eng-Tuck

Authors

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Dr John Fry J.M.Fry@hull.ac.uk
Senior Lecturer in Applied Mathematics

Eng-Tuck Cheah



Abstract

In this paper we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. The derived models allow for a probabilistic and statistical formulation of econophysics models closely linked to mainstream financial models. Applications include monitoring the stability of financial systems and the subsequent policy implications. We emphasise the timeliness of our contribution with an application to the two largest cryptocurrency markets: Bitcoin and Ripple. Results shed new light on emerging debates over the nature of cryptocurrency markets and competition between rival digital currencies.

Citation

Fry, J., & Cheah, E. (2016). Negative bubbles and shocks in cryptocurrency markets. International review of financial analysis, 47, 343-352. https://doi.org/10.1016/j.irfa.2016.02.008

Journal Article Type Article
Acceptance Date Feb 10, 2016
Online Publication Date Feb 17, 2016
Publication Date 2016-10
Deposit Date Feb 4, 2022
Journal International review of financial analysis
Print ISSN 1057-5219
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 47
Pages 343-352
DOI https://doi.org/10.1016/j.irfa.2016.02.008
Keywords Bitcoin; Ripple; Cryptocurrencies; Bubbles; Negative bubbles; Econophysics
Public URL https://hull-repository.worktribe.com/output/3921028
Related Public URLs https://bradscholars.brad.ac.uk/handle/10454/17641