Negative bubbles & shocks in cryptocurrency markets
Negative bubbles & shocks in cryptocurrency markets
In this paper we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. The derived models allow for a probabilistic and statistical formulation of econophysics models closely linked to mainstream financial models. Applications include monitoring the stability of financial systems and the subsequent policy implications. We emphasise the timeliness of our contribution with an application to the two largest cryptocurrency markets: Bitcoin and Ripple. Results shed new light on emerging debates over the nature of cryptocurrency markets and competition between rival digital currencies.
343-352
Fry, John
7b5c4baa-9f23-4245-9fad-4fb3c0e6a1c3
Cheah, Jeremy
298800de-521f-4aa8-9c04-2f58eece4c6e
October 2016
Fry, John
7b5c4baa-9f23-4245-9fad-4fb3c0e6a1c3
Cheah, Jeremy
298800de-521f-4aa8-9c04-2f58eece4c6e
Fry, John and Cheah, Jeremy
(2016)
Negative bubbles & shocks in cryptocurrency markets.
International Review of Financial Analysis, 47, .
(doi:10.1016/j.irfa.2016.02.008).
Abstract
In this paper we draw upon the close relationship between statistical physics and mathematical finance to develop a suite of models for financial bubbles and crashes. The derived models allow for a probabilistic and statistical formulation of econophysics models closely linked to mainstream financial models. Applications include monitoring the stability of financial systems and the subsequent policy implications. We emphasise the timeliness of our contribution with an application to the two largest cryptocurrency markets: Bitcoin and Ripple. Results shed new light on emerging debates over the nature of cryptocurrency markets and competition between rival digital currencies.
More information
Accepted/In Press date: 10 February 2016
e-pub ahead of print date: 17 February 2016
Published date: October 2016
Organisations:
Banking & Finance
Identifiers
Local EPrints ID: 408194
URI: http://eprints.soton.ac.uk/id/eprint/408194
ISSN: 1057-5219
PURE UUID: a7125955-5e34-47da-a14b-2b56fe472649
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Date deposited: 17 May 2017 04:01
Last modified: 16 Mar 2024 04:28
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Contributors
Author:
John Fry
Author:
Jeremy Cheah
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