Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/230767
Authors: 
Pele, Daniel Traian
Mazurencu-Marinescu-Pele, Miruna
Year of Publication: 
2018
Series/Report no.: 
IRTG 1792 Discussion Paper No. 2018-056
Abstract: 
In this paper we investigate the statistical properties of cryptocurrencies by using alpha-stable distributions. We also study the benefits of the Metcalfe's law (the value of a network is proportional to the square of the number of connected users of the system) for the evaluation of cryptocurrencies. As the results showed a potential for herding behaviour, we used LPPL models to capture the behaviour of cryptocurrencies exchange rates during an endogenous bubble and to predict the most probable time of the regime switching.
Subjects: 
cryptocurrency
Bitcoin
CRIX
Log-Periodic Power Law
Metcalfe's law
stable distribution
JEL: 
C22
C32
C51
C53
C58
E41
E42
E47
E51
G1
G17
Document Type: 
Working Paper

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