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

Fry, J (2018) Booms, busts and heavy-tails: the story of Bitcoin and cryptocurrency markets? Economics Letters, 171. pp. 225-229. ISSN 0165-1765

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Abstract

We 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.

Item Type:	Article
Peer-reviewed:	Yes
Date Deposited:	13 Aug 2018 15:30
Publisher:	Elsevier
Additional Information:	This is an Author Accepted Manuscript of a paper accepted for publication in Economics Letters, published by and copyright Elsevier.
Divisions:
Subject terms:	14 Economics, Economics
URI:	https://mmu-uat.leaf.cosector.com/id/eprint/621354
DOI:	https://doi.org/10.1016/j.econlet.2018.08.008
ISSN	0165-1765

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