Negative bubbles and shocks in cryptocurrency markets
By John Fry, Eng-Tuck Cheah. 2016
451 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/902d756c169cd0c6651e037dc1dcada11fc7032a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Elie Bouri
- Brian M. Lucey
- David Roubaud
- Shaen Corbet
- Rangan Gupta
- Aviral Kumar Tiwari
- Paraskevi Katsiampa
- Andrew Urquhart
In Finance
- Rangan Gupta
- Elie Bouri
- David Roubaud
- Brian M. Lucey
- Shaen Corbet
- Aviral Kumar Tiwari
- Sowmya Subramaniam
- Anamika
Citations in the corpus
- An empirical investigation of volatility dynamics in the cryptocurrency market (2019, unknown): “Amid huge public interest, the use of cryptocurrencies has increased in response to the perceived issues of the already existing monetary and payment system which were brought to light during the financial market turmoil of 2008 (Weber, 2014) but also due to the cryptocurrencies' unprecedented price”
- Does Sentiment Impact Cryptocurrency? (2021, background): “Fry and Cheah (2016) found spillover from Ripple to the Bitcoin market.”
- Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis (2019, unknown): “Our findings thus support the studies of Fry and Cheah [2016], Ciaian et al. [2018], Corbet, Meegan, Larkin, Lucey, and Yarovaya [2018] and Katsiampa [2018a,b] on interdependencies within the cryptocurrency market.”
- Does Bitcoin hedge global uncertainty? Evidence from wavelet-based quantile-in-quantile regressions (2016, background): “The finance literature on Bitcoin has also been extended to cover the role of Bitcoin as an investment; although Bitcoin contains a considerable speculative component (Fry and Cheah, 2016), Bouoiyour et al.”