Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets?
dc.contributor.author | Fry, John | |
dc.date.accessioned | 2020-01-05T11:37:13Z | |
dc.date.accessioned | 2020-01-13T15:48:29Z | |
dc.date.available | 2020-01-05T11:37:13Z | |
dc.date.available | 2020-01-13T15:48:29Z | |
dc.date.issued | 2018-10 | |
dc.identifier.citation | Fry J (2018) Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? Economics Letters. 171: 225-229. | en_US |
dc.identifier.uri | http://hdl.handle.net/10454/17568 | |
dc.description | Yes | en_US |
dc.description.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. | en_US |
dc.language.iso | en | en_US |
dc.relation.isreferencedby | https://doi.org/10.1016/j.econlet.2018.08.008 | en_US |
dc.rights | 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. | en_US |
dc.subject | Bitcoin | en_US |
dc.subject | Bubbles | en_US |
dc.subject | Cryptocurrencies | en_US |
dc.subject | Econophysics | en_US |
dc.subject | Liquidity risk | en_US |
dc.title | Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? | en_US |
dc.status.refereed | Yes | en_US |
dc.date.Accepted | 2018-08-05 | |
dc.date.application | 2018-08-09 | |
dc.type | Article | en_US |
dc.type.version | Accepted manuscript | en_US |
dc.date.updated | 2020-01-05T11:37:14Z | |
refterms.dateFOA | 2020-01-13T15:48:55Z |