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

By John Fry. Economics Letters, 2018

159 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Information Systems

View Paper: https://www.semanticscholar.org/paper/e538f221a3ff45df561dcef25ebed552d8a8e39a

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

1. Shaen Corbet
2. Brian M. Lucey
3. L. Yarovaya
4. Andrew Urquhart
5. Paraskevi Katsiampa
6. Tetsuya Takaishi
7. Pengfei Wang
8. Ahmet Sensoy

In Finance

1. Shaen Corbet
2. Brian M. Lucey
3. Andrew Urquhart
4. L. Yarovaya
5. A. H. Dyhrberg

In Information Systems

1. Shaen Corbet
2. Brian M. Lucey
3. L. Yarovaya
4. Andrew Urquhart
5. Paraskevi Katsiampa
6. Pengfei Wang
7. Dehua Shen
8. Emmanouil Platanakis

Citations in the corpus

• Taming the blockchain beast? Regulatory implications for the cryptocurrency Market (2020, unknown): “Sex, drugs, and bitcoin: How much illegal activity is financed through cryptocurrencies? The Review of Financial Studies, 32(5), 17981853. Fry, J. (2018). Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets? Economics Letters, 171(4), 225-229. Grinberg, R. (2011). Bitcoin: ”
• Cryptocurrencies as a financial asset: A systematic analysis (2019, background): “Fry (2015). Speculative bubbles in bitcoin markets? an empirical investigation into the fundamental value of bitcoin.”
• A systematic review of the bubble dynamics of cryptocurrency prices (2020, unknown): “Fry [2018] showed that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency markets.”