Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics

DOI10.1016/J.ECONLET.2019.108831MaRDI QIDQ777638zbMATH OpenOpenAlexWikidataFDO

Authors Alessandra Cretarola, Gianna Figà-Talamanca

Publication date 7 July 2020

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2019.108831

zbMATH Keywords

bubbleregime-switching modelBitcoinEthereum

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• scientific article; zbMATH DE number 3325347 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A mathematical theory of financial bubbles
• Asset price bubbles in incomplete markets
• Does market attention affect bitcoin returns and volatility?
• Dynamic linear models with Markov-switching
• Noncausal autoregressive model in application to Bitcoin/USD exchange rates
• Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
• Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
• The mathematics of arbitrage

Cited in

(10)

• Prediction of cryptocurrency returns using machine learning
• Market attention and Bitcoin price modeling: theory, estimation and option pricing
• Asymptotic properties of mildly explosive processes with locally stationary disturbance
• Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps
• A continuous time model for bitcoin price dynamics
• The great crypto crash in September 2018: why did the cryptocurrency market collapse?
• Blockchain and cryptocurrencies: economic and financial research
• Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages
• Complexity traits and synchrony of cryptocurrencies price dynamics
• Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}

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