The Bitcoin (BTC) market presents itself as a new unique medium currency, and it is often hailed as the "currency of the future". Simulating the BTC market in the price discovery process presents a unique set of market mechanics. The supply of BTC is determined by the number of miners and...

Abreu and Brunnermeier (2003) have argued that bubbles are not suppressed by arbitrageurs because they fail to synchronise on the uncertain beginning of the bubble. We propose an indirect quantitative test of this hypothesis and confront it with the alternative according to which bubbles persist...

Inspired by the question of identifying the start time τ of financial bubbles, we address the calibration of time series in which the inception of the latest regime of interest is unknown. By taking into account the tendency of a given model to overfit data, we introduce the Lagrange...