Negative bubbles and shocks in cryptocurrency markets
(2016)
Journal Article
Fry, J., & Cheah, E.-T. (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
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 econoph... Read More about Negative bubbles and shocks in cryptocurrency markets.