Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics
DOI10.1016/J.ECONLET.2019.108831zbMATH Open1436.91113OpenAlexW2987944383WikidataQ111690009 ScholiaQ111690009MaRDI QIDQ777638FDOQ777638
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
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Statistical methods; risk measures (91G70) Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)
Cites Work
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- Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
- A mathematical theory of financial bubbles
- Asset price bubbles in incomplete markets
- Speculative bubbles in bitcoin markets? An empirical investigation into the fundamental value of bitcoin
- Does market attention affect bitcoin returns and volatility?
- Noncausal autoregressive model in application to Bitcoin/USD exchange rates
Cited In (10)
- Prediction of cryptocurrency returns using machine learning
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- Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps
- The great crypto crash in September 2018: why did the cryptocurrency market collapse?
- Asymptotic properties of mildly explosive processes with locally stationary disturbance
- Market attention and Bitcoin price modeling: theory, estimation and option pricing
- 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
- A continuous time model for bitcoin price dynamics
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