Two Models of Speculative Bubbles Dynamics for Cryptocurrency Prices

Mikhail Perepelitsa

Applied Economics and Finance, 2022, vol. 9, issue 4, 3646

Abstract: The problem of investing into a cryptocurrency market requires good understanding of the processes that regulate the price of the currency. In this paper we offer a view of the cryptocurrency market as an environment for realization of self-organized speculative schemes that result in the formation of a characteristic price bubble. We use a microscale, agent-based model to simulate the system behavior and derive a macroscale ordinary differential equation (ODE) model to estimate the price and the return rates observed in the simulated agent-based model. We provide a formula for the total risk of the system expressed as a sum of two independent components, one being characteristic of the price bubble and the other of the investor behavior.

Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://redfame.com/journal/index.php/aef/article/download/5738/5922 (application/pdf)
https://redfame.com/journal/index.php/aef/article/view/5738 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rfa:aefjnl:v:9:y:2022:i:4:p:3646

Access Statistics for this article

More articles in Applied Economics and Finance from Redfame publishing Contact information at EDIRC.
Bibliographic data for series maintained by Redfame publishing ().