Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets?
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2018-10Author
Fry, JohnRights
Crown Copyright © 2018 Published by Elsevier B.V. All rights reserved. . Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.Peer-Reviewed
YesOpen Access status
openAccessAccepted for publication
05/08/2018
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Show full item recordAbstract
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.Version
Accepted manuscriptCitation
Fry J (2018) Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? Economics Letters. 171: 225-229.Link to Version of Record
https://doi.org/10.1016/j.econlet.2018.08.008Type
Articleae974a485f413a2113503eed53cd6c53
https://doi.org/10.1016/j.econlet.2018.08.008