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Models of Speculative Attacks and Crashes in International Capital Markets

Marini, Giancarlo - 2014

Currency and financial turmoils in international capital markets have been the focus of an extensive theoretical research which started around 30 years ago. This paper provides a synthetic overview of this theoretical modeling. We analyze the basic analytical framework corresponding to the...

Persistent link: https://www.econbiz.de/10013065790

Bitcoin bubble trouble

Kreuser, Jérôme; Sornette, Didier - 2018 - Revised 18-Jun-18

We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...

Persistent link: https://www.econbiz.de/10011899594

Speculation and Lottery-Like Demand in Cryptocurrency Markets

Grobys, Klaus - 2020

This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns are rather short-memory processes in their nature, we modify Bali et al.'s (2011, 2017) MAX measure and employ a weekly forecast horizon and...

Persistent link: https://www.econbiz.de/10012839840

Speculative Investment and Risk Management of Bitcoin Exchange Rate Returns

Bueno, Pedro - 2017

Since its launch in 2008, Bitcoin becomes one of the most successful and fast-growing alternative currencies. As of 2017, the market capitalization is around $46 billions and arguably expected to continue growing. The Bitcoin to the US dollar exchange rate has been very volatile and fluctuating...

Persistent link: https://www.econbiz.de/10012950459

Virtual Currencies : Media of Exchange or Speculative Asset?

Baur, Dirk G. - 2016

This paper uses a theoretical model to analyse the dynamic relationship of virtual currency with fiat currency. The model demonstrates that the price impact of potential users and speculators in virtual currencies adversely affects their property as a medium of exchange and renders a crowding...

Persistent link: https://www.econbiz.de/10012987663

Crypto currencies : speculative bubble or disruptive technology?

Meider, Eduard - In: Financial Innovation and Value Creation : The Impact of …, (pp. 21-41). 2023

Persistent link: https://www.econbiz.de/10014232349

Bankers’ Bonuses and Speculative Bubbles

Enders, Zeno - 2015

We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative bubble, bankers (traders) drive the price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown...

Persistent link: https://www.econbiz.de/10013038461

Soccer Bubble : Is There a Speculative Bubble in the Price of International Soccer Players?

Pancotto, Francesca; Addessi, Giorgio; Auteri, Nicola - 2022

An exponentially increasing trend of players’ registration price has taken place recently, and we test the hypothesis that this may be a speculative bubble, using a structural break test on a dataset of international soccer players registration prices, from 2007 to 2019. Our statistical...

Persistent link: https://www.econbiz.de/10014238249

The speculation bubble on the real estate market in the USA in view of selected overinvestment theories

Bochenek, Paweł - In: E-Finanse : finansowy kwartalnik internetowy 7 (2011) 1, pp. 73-87

This paper offers a specific analysis of speculation bubbles in the economic history of the world, and then tries to … identify the causes and effects of the speculation bubble on the real estate market in the USA, which was the main cause of the … subprime crisis. The first part of the paper aims at defining the phenomenon of economic fluctuations and speculation bubble …

Persistent link: https://www.econbiz.de/10009510785

On the existence and prevention of speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2014

We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative bubble, traders drive the price above its fundamental value in a dynamic way, driven by rational expectations about future price developments. At a previously unknown date, the...

Persistent link: https://www.econbiz.de/10010393456