Booms, busts and heavy-tails: the story of bitcoin and cryptocurrency markets?

DOI10.1016/J.ECONLET.2018.08.008MaRDI QIDQ1788028zbMATH OpenOpenAlexWikidataFDO

Authors John L. Fry

Publication date 8 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10454/17568

zbMATH Keywords

econophysicsliquidity riskbubblesbitcoincryptocurrencies

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1082453 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• An application of extreme value theory to cryptocurrencies
• Asymptotic Properties of Maximum Likelihood Estimators and Likelihood Ratio Tests Under Nonstandard Conditions
• CRASHES AS CRITICAL POINTS
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• Is volatility the best predictor of market crashes?
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• The pricing of options and corporate liabilities

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• The high-frequency impact of macroeconomic news on jumps and co-jumps in the cryptocurrency markets
• Applying the local martingale theory of bubbles to cryptocurrencies
• Herding and feedback trading in cryptocurrency markets
• Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
• What drives Bitcoin's price crash risk?
• The dynamics of price-volume information transfer in the cryptocurrency markets
• Enduring relief or fleeting respite? Bitcoin as a hedge and safe haven for the US dollar
• Are DeFi tokens a separate asset class from conventional cryptocurrencies?
• Blockchain competition: the tradeoff between platform stability and efficiency
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