Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask

Applied Econometrics, Forthcoming

49 Pages Posted: 14 Jun 2016

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Erik Nigmatullin

Bocconi University

Vera Sukhanovskaya

Perm State University

Sergey Ivliev

Perm State University

Date Written: June 12, 2016

Abstract

Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools which have been proposed so far to model the bitcoin price and several related issues, highlighting advantages and limits. We discuss the methods employed to determine the main characteristics of bitcoin users, the models proposed to assess the bitcoin fundamental value, the econometric approaches suggested to model bitcoin price dynamics, the tests used for detecting the existence of financial bubbles in bitcoin prices and the methodologies suggested to study the price discovery at bitcoin exchanges.

Keywords: Bitcoin, Crypto-Currencies, Hash Rate, Investors' Attractiveness, Social Interactions, Money Supply, Money Demand, Speculation, Forecasting, Algorithmic Trading, Bubble, Price Discovery

JEL Classification: C22, C32, C51, C53, E41, E42, E47, E51, G17

Suggested Citation

Fantazzini, Dean and Nigmatullin, Erik and Sukhanovskaya, Vera and Ivliev, Sergey, Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask (June 12, 2016). Applied Econometrics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=2794622

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Erik Nigmatullin

Bocconi University ( email )

Via Sarfatti, 25
Milan, MI 20136
Italy

Vera Sukhanovskaya

Perm State University ( email )

Bukireva street, 15.
Perm, 614990
Russia

Sergey Ivliev

Perm State University ( email )

Bukireva street, 15.
Perm, 614990
Russia

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