Everything You Always Wanted to Know About Bitcoin Modelling but Were Afraid to Ask. Part 2

Applied Econometrics, vol. 45, pages 5-28.

Posted: 7 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: 2017

Abstract

This part completes the consultation series dealing with bitcoin price modelling. Particularly, the analysis focuses on 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: 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 Ivliev, Sergey and Sukhanovskaya, Vera, Everything You Always Wanted to Know About Bitcoin Modelling but Were Afraid to Ask. Part 2 (2017). Applied Econometrics, vol. 45, pages 5-28.. Available at SSRN: https://ssrn.com/abstract=3215469

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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