Optimal Fees and Equilibrium in Crypto Markets

Elisa Luciano

Carlo Alberto Notebooks from Collegio Carlo Alberto

Abstract: The paper studies optimal fees and the conditions for existence of an equilibrium without forks in a market for cryptocurrencies, of the Bitcoin type. Once calibrated to the BTC.com high -frequency data, the model explains the realized volatility of the observed fees, the volatility amplification from the prices without to the ones with fees, as well as the relative stability of the implied optimal policies. The rate of return that investors would require from an asset with the same drift and diffusion of the BTC, but without costs, is a modest 3.5%, while the expected return from the crypto is 14.7%

Keywords: equilibrium in crypto markets; cryptocurrencies; Bitcoin; blockchain. (search for similar items in EconPapers)
Pages: 26 pages
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:cca:wpaper:722

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