Was the 2017 Crash of the Crypto-currency Market Predictable?

Élise Alfieri (), Radu Burlacu () and Geoffroy Enjolras
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Élise Alfieri: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA [2016-2019] - Université Grenoble Alpes [2016-2019]
Radu Burlacu: CERAG - Centre d'études et de recherches appliquées à la gestion - UGA [2016-2019] - Université Grenoble Alpes [2016-2019]

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Abstract: The cyber-space of crypto-currency market is a main issue in terms of security and stability. The novelty and the high volatility of crypto-currencies question their speculative nature. Recently, the crypto-currency price exponentially increased and reached an important burst in the end of 2017. The objective of this article is to detect and test the prediction of this crypto-currency market crash using the Log-Periodic Power Law model (LPPL). We consider 2 main crypto-currencies, Bitcoin and Ether. We find that the LPPL model allows to estimate the date of the crash in the crypto-currency market depending on the window sensitivity.

Keywords: Crypto-Currencies; Bitcoin; Bubble; LPPL; Speculation (search for similar items in EconPapers)
Date: 2019-03-12
New Economics Papers: this item is included in nep-pay
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Published in 10th International Multi-Conference on Complexity, Informatics and Cybernetics (IMCIC Conference 2019), Mar 2019, Miami, United States

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