Booms, busts and heavy-tails: The story of Bitcoin and cryptocurrency markets?

摘要

We develop bespoke rational bubble models for Bitcoin and cryptocurrencies that incorporate both heavy tails and the probability of a complete collapse in asset prices. Empirically, we present robustified evidence of bubbles in Bitcoin and Ethereum. Theoretically, we show that liquidity risks may generate heavy-tails in Bitcoin and cryptocurrency markets. Even in the absence of bubbles dramatic booms and busts can occur. We thus sound a timely note of caution. Crown Copyright (C) 2018 Published by Elsevier B.V. All rights reserved.