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dc.contributor.authorFry, John
dc.date.accessioned2020-01-05T11:37:13Z
dc.date.accessioned2020-01-13T15:48:29Z
dc.date.available2020-01-05T11:37:13Z
dc.date.available2020-01-13T15:48:29Z
dc.date.issued2018-10
dc.identifier.citationFry J (2018) Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? Economics Letters. 171: 225-229.en_US
dc.identifier.urihttp://hdl.handle.net/10454/17568
dc.descriptionYesen_US
dc.description.abstractWe 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.isoenen_US
dc.relation.isreferencedbyhttps://doi.org/10.1016/j.econlet.2018.08.008en_US
dc.rightsCrown 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.subjectBitcoinen_US
dc.subjectBubblesen_US
dc.subjectCryptocurrenciesen_US
dc.subjectEconophysicsen_US
dc.subjectLiquidity risken_US
dc.titleBooms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets?en_US
dc.status.refereedYesen_US
dc.date.Accepted2018-08-05
dc.date.application2018-08-09
dc.typeArticleen_US
dc.date.EndofEmbargo2020-02-10
dc.type.versionAccepted manuscripten_US
dc.description.publicnotesThe full-text of this article will be released for public view at the end of the publisher embargo on 10 Feb 2020.en_US
dc.date.updated2020-01-05T11:37:14Z
refterms.dateFOA2020-01-13T15:48:55Z


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