Related papers: Are Bitcoin Bubbles Predictable? Combining a Gener…
A reputation of high volatility accompanies the emergence of Bitcoin as a financial asset. This paper intends to nuance this reputation and clarify our understanding of Bitcoin's volatility. Using daily, weekly, and monthly closing prices…
In recent years, cryptocurrencies have attracted growing attention from both private investors and institutions. Among them, Bitcoin stands out for its impressive volatility and widespread influence. This paper explores the predictability…
We present a dynamical theory of asset price bubbles that exhibits the appearance of bubbles and their subsequent crashes. We show that when speculative trends dominate over fundamental beliefs, bubbles form, leading to the growth of asset…
Prediction of stock prices has been a crucial and challenging task, especially in the case of highly volatile digital currencies such as Bitcoin. This research examineS the potential of using neural network models, namely LSTMs and GRUs, to…
By investigating nonfungible tokens (NFTs), we provide the first systematic study of retail investor behavior through asset bubbles. Given that NFTs are recorded in public blockchains, we are able to track investor behavior over time,…
Crashes have fascinated and baffled many canny observers of financial markets. In the strict orthodoxy of the efficient market theory, crashes must be due to sudden changes of the fundamental valuation of assets. However, detailed empirical…
What is the role of social interactions in the creation of price bubbles? Answering this question requires obtaining collective behavioural traces generated by the activity of a large number of actors. Digital currencies offer a unique…
We introduce the concept of "negative bubbles" as the mirror image of standard financial bubbles, in which positive feedback mechanisms may lead to transient accelerating price falls. To model these negative bubbles, we adapt the…
We construct a statistical indicator for the detection of short-term asset price bubbles based on the information content of bid and ask market quotes for plain vanilla put and call options. Our construction makes use of the martingale…
Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9…
The functioning of the cryptocurrency Bitcoin relies on the open availability of the entire history of its transactions. This makes it a particularly interesting socio-economic system to analyse from the point of view of network science.…
This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an…
Episodes of market crashes have fascinated economists for centuries. Although many academics, practitioners and policy makers have studied questions related to collapsing asset price bubbles, there is little consensus yet about their causes…
Bitcoin price forecasting is characterized by extreme volatility and non-stationarity, often defying traditional univariate time-series models over long horizons. This paper addresses a critical gap by integrating Global M2 Liquidity,…
This paper conducts an extensive analysis of Bitcoin return series, with a primary focus on three volatility metrics: historical volatility (calculated as the sample standard deviation), forecasted volatility (derived from GARCH-type…
The goals of this paper are twofold: (1) to present a new method that is able to find linear laws governing the time evolution of Markov chains and (2) to apply this method for anomaly detection in Bitcoin prices. To accomplish these goals,…
This paper analyses the high-frequency intraday Bitcoin dataset from 2019 to 2022. During this time frame, the Bitcoin market index exhibited two distinct periods, 2019-20 and 2021-22, characterized by an abrupt change in volatility. The…
The rapid spread of information over social media influences quantitative trading and investments. The growing popularity of speculative trading of highly volatile assets such as cryptocurrencies and meme stocks presents a fresh challenge…
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst…
Since Bitcoin first appeared on the scene in 2009, cryptocurrencies have become a worldwide phenomenon as important decentralized financial assets. Their decentralized nature, however, leads to notable volatility against traditional fiat…