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 …

correction model between Bitcoin and Ethereum. We examine whether the Bitcoin price obeys the law of one price by comparing …Bitcoin, exchangeable for legal tender, and blockchain, the novel form of digital ledger technology it is based on, are … Bitcoin is consistent with a prototyping phase of a new technological breakthrough. In support of this, we test empirically …

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 …

monitoring of Bitcoin bubbles and crashes using different time scale data and proposed the modified Lagrange regularization … correlated which to Bitcoin bubbles detected. Based on the daily LPPLS confidence indictor from December 1, 2019 to June 24, 2021 …, we found that the Bitcoin boom from November 2020 to mid-January 2021 is an endogenous bubble, stemming from the self …

cryptocurrency market exhibits a high level of market connectedness. Bitcoin is a net transmitter of return spillovers during busts … and a net receiver during booms. Analysis of the timing of bubble and crash periods uncovers the presence of … interdependence and contagion effects. There is only limited evidence for asset rotation, and it involves mostly Ripple. Bubbles in …

Cryptocurrencies provide the ideal and natural experimental setting to test the local martingale theory of bubbles …, because they have no cash flows. Using this theory, we test for the existence of price bubbles in eight cryptocurrencies from … January 1, 2019 to July 17, 2019. The cryptocurrencies are Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP …