In this paper, the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

In this paper the authors investigate the statistical properties of some cryptocurrencies by using three layers of analysis: alpha-stable distributions, Metcalfe’s law and the bubble behaviour through the LPPL modelling. The results show, in the medium to long-run, the validity of Metcalfe's...

We investigate the performance of funds that specialise in cryptocurrency markets. In doing so, we contribute to a growing literature that aims to understand the role of digital assets as an investment. Methodologically, we implement a novel panel bootstrap approach that samples jointly the...

The growth of peer-to-peer exchanges and the blockchain technology has led to a proliferation of cryptocurrencies and to a massive increase in the number of investors who actually negotiate digital money. Cryptocurrencies trade at prices which is mainly driven by investor sentiment, becoming a...

Bitcoin blockchain has grown into an active global virtual money network with millions of accounts.We propose a Sparse-Group Network AutoRegressive (SGNAR) model to understand the dynamics of its cross-border transactions. It describes the money flows of virtual funds, with a focus on the...

We use boosted decision trees to generate daily out-of-sample forecasts of excess returns for Bitcoin and Ethereum, the two best-known and largest cryptocurrencies. The decision trees incorporate information from 39 predictors, including variables relating to cryptocurrency fundamentals,...

This paper examines the distributional properties of cryptocurrency realized variation measures (RVM) and the predictability of RVM on future returns. We show the cryptocurrency volatility persistence and the importance of the asymmetry on volatility forecasting. Signed jumps variations...

This study examines the nexus between the good and bad volatilities of three technological revolutions-fnancial technology (FinTech), the Internet of Things, and artifcial intelligence and technology-as well as the two main conventional and Islamic cryptocurrency platforms, Bitcoin and Stellar,...

Bitcoin is traded in a number of exchanges, and there is a large and time-varying price dispersion among them. We identify the sources of price dispersion using a standard time-varying vector auto-regression model with stochastic volatility. Using weekly data over the past 3 years, we find that...

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...