Browsing Management and Law by Author "Cheah, E-T."
Negative bubbles and shocks in cryptocurrency marketsFry, John; Cheah, E-T. (2016-10)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 econophysics models closely linked to mainstream financial models. Applications include monitoring the stability of financial systems and the subsequent policy implications. We emphasise the timeliness of our contribution with an application to the two largest cryptocurrency markets: Bitcoin and Ripple. Results shed new light on emerging debates over the nature of cryptocurrency markets and competition between rival digital currencies.
Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of BitcoinCheah, E-T.; Fry, John (2015-05)Amid its rapidly increasing usage and immense public interest the subject of Bitcoin has raised profound economic and societal issues. In this paper we undertake economic and econometric modelling of Bitcoin prices. As with many asset classes we show that Bitcoin exhibits speculative bubbles. Further, we find empirical evidence that the fundamental price of Bitcoin is zero.