Everything you always wanted to know about bitcoin modelling but were afraid to ask. I

Dean Fantazzini, Erik Nigmatullin (), Vera Sukhanovskaya () and Sergey Ivliev ()
Additional contact information
Erik Nigmatullin: Bocconi University, Milan, Italy
Vera Sukhanovskaya: Perm State National Research University, Russian Federation
Sergey Ivliev: Perm State National Research University, Russian Federation

Applied Econometrics, 2016, vol. 44, 5-24

Abstract: Bitcoin is an open source decentralized digital currency and a payment system. It has raised a lot of attention and interest worldwide and an increasing number of articles are devoted to its operation, economics and financial viability. This article reviews the econometric and mathematical tools which have been proposed so far to model the bitcoin price and several related issues, highlighting advantages and limits. We discuss the methods employed to determine the main characteristics of bitcoin users, the models proposed to assess the bitcoin fundamental value, 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 (search for similar items in EconPapers)
JEL-codes: C22 C32 C51 C53 E41 E42 E47 E51 G17 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

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