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

Dean Fantazzini, Erik Nigmatullin, Vera Sukhanovskaya and Sergey Ivliev

MPRA Paper from University Library of Munich, Germany

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: Bitcoin; 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)
New Economics Papers: this item is included in nep-mac, nep-mon and nep-pay
Date: 2016, Revised 2016
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Journal Article: Everything you always wanted to know about bitcoin modelling but were afraid to ask. I (2016) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:71946

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