Is the Bitcoin Rush Over?

Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming

22 Pages Posted: 25 Apr 2018

See all articles by Dominique Guegan

Dominique Guegan

Université Paris I Panthéon-Sorbonne

Marius Frunza

Schwarzthal Tech; Schwarzthal Kapital

Multiple version iconThere are 2 versions of this paper

Date Written: April 4, 2018

Abstract

The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2013 and 2017.

Keywords: Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

JEL Classification: C58

Suggested Citation

Guegan, Dominique and Frunza, Marius, Is the Bitcoin Rush Over? (April 4, 2018). Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3156694 or http://dx.doi.org/10.2139/ssrn.3156694

Dominique Guegan

Université Paris I Panthéon-Sorbonne ( email )

106 avenue de lhopital
75634 Paris Cedex 13
Paris, IL
France

Marius Frunza (Contact Author)

Schwarzthal Tech ( email )

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London, London N1 0QH
United Kingdom

HOME PAGE: http://www.schwarzthal.tech

Schwarzthal Kapital ( email )

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France

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