Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets
(2018)
Journal Article
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
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.... Read More about Booms, busts and heavy tails: the story of Bitcoin and cryptocurrency markets.