Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/230767 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
IRTG 1792 Discussion Paper No. 2018-056
Verlag: 
Humboldt-Universität zu Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", Berlin
Zusammenfassung: 
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.
Schlagwörter: 
cryptocurrency
Bitcoin
CRIX
Log-Periodic Power Law
Metcalfe's law
stable distribution
JEL: 
C22
C32
C51
C53
C58
E41
E42
E47
E51
G1
G17
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe





Publikationen in EconStor sind urheberrechtlich geschützt.