Dr John Fry J.M.Fry@hull.ac.uk
Senior Lecturer in Applied Mathematics
Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets
Fry, John
Authors
Abstract
We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum. Theoretically, we show that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency markets. Even in the absence of bubbles dramatic booms and busts can occur. We thus sound a timely note of caution.
Citation
Fry, J. (2018). Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets. Economics letters, 171, 225-229. https://doi.org/10.1016/j.econlet.2018.08.008
Journal Article Type | Article |
---|---|
Acceptance Date | Aug 5, 2018 |
Online Publication Date | Aug 9, 2018 |
Publication Date | 2018-10 |
Deposit Date | Feb 4, 2022 |
Journal | Economics letters |
Print ISSN | 0165-1765 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 171 |
Pages | 225-229 |
DOI | https://doi.org/10.1016/j.econlet.2018.08.008 |
Keywords | Bitcoin; Bubbles; Cryptocurrencies; Econophysics; Liquidity risk |
Public URL | https://hull-repository.worktribe.com/output/3921041 |
Related Public URLs | https://e-space.mmu.ac.uk/621354/ |
You might also like
Voting intentions on social media and political opinion polls
(2021)
Journal Article
Managing performance expectations in association football
(2021)
Journal Article
Modelling corporate bank accounts
(2021)
Journal Article
Automated data processing of bank statements for cash balance forecasting
(2021)
Journal Article
An options pricing approach to election prediction
(2020)
Journal Article
Downloadable Citations
About Repository@Hull
Administrator e-mail: repository@hull.ac.uk
This application uses the following open-source libraries:
SheetJS Community Edition
Apache License Version 2.0 (http://www.apache.org/licenses/)
PDF.js
Apache License Version 2.0 (http://www.apache.org/licenses/)
Font Awesome
SIL OFL 1.1 (http://scripts.sil.org/OFL)
MIT License (http://opensource.org/licenses/mit-license.html)
CC BY 3.0 ( http://creativecommons.org/licenses/by/3.0/)
Powered by Worktribe © 2024
Advanced Search