Everything You Always Wanted to Know About Bitcoin Modeling But Were Afraid to Ask - Part 1

Applied Econometrics, vol. 44, pages 5-24, 2016

Posted: 6 Aug 2018

See all articles by Dean Fantazzini

Dean Fantazzini

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

Sergey Ivliev

Perm State University

Vera Sukhanovskaya

Perm State University

Date Written: 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, Hashreit, Mining, Attractiveness of Investors, Social Interaction, Money Supply, Money Demand, Speculation, Forecasting, Algorithmic Trading, Bubbles, Pricing, LPPL

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

Suggested Citation

Fantazzini, Dean and Ivliev, Sergey and Sukhanovskaya, Vera, Everything You Always Wanted to Know About Bitcoin Modeling But Were Afraid to Ask - Part 1 (2016). Applied Econometrics, vol. 44, pages 5-24, 2016. Available at SSRN: https://ssrn.com/abstract=3215419

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

Sergey Ivliev

Perm State University ( email )

Bukireva street, 15.
Perm, 614990
Russia

Vera Sukhanovskaya

Perm State University ( email )

Bukireva street, 15.
Perm, 614990
Russia

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