【Source】ECONOMICS LETTERS
【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. Crown Copyright (C) 2018 Published by Elsevier B.V. All rights reserved.
【Keywords】Bitcoin; Bubbles; Cryptocurrencies; Econophysics; Liquidity risk
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