investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash …-free asset. Using our bubble model on Bitcoin from 8-Jul-2013 until 19-Dec-2017 would have generated a CAGR of 140% with a …We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal …

This study presents an analysis of the impact of asset price bubbles on the markets for cryptocurrencies and consider … the standard risk management measure Value-at-Risk (“VaR”). We apply the theory of local martingales, present a styled … model of asset price bubbles in continuous time and perform a simulation experiment featuring one- and two …

This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a … users if they anticipate in increase in transactional demand per coin. Investors in a bubble equilibrium hold the … bubble equilibrium for a cryptocurrency with non-negative money growth experience Ponzi-scheme equivalent payoffs in the …