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A note on ambiguity, network adoption and crypto pricing

Author

Listed:
  • Shen, Zhuyi
  • Wang, Shibo
  • Yang, Jinqiang
  • Zhao, Siqi

Abstract

We develop a tractable dynamic asset pricing model for cryptocurrencies that addresses users’ concerns about model uncertainty. Our paper provides a closed-form solution to token pricing, yielding homothetic and homogeneous robust decisions. A key insight is that the rate of robust adoption may either increase or decrease relative to tokenless economy, depending on the trade-off between the token-appreciation effect and user ambiguity aversion. Compared with the numerical analysis in Shen et al. (2023), we tractably demonstrate the adverse impact of ambiguity on optimal token holdings and the token price through two primary mechanisms: users’ robust decisions and the user base.

Suggested Citation

  • Shen, Zhuyi & Wang, Shibo & Yang, Jinqiang & Zhao, Siqi, 2025. "A note on ambiguity, network adoption and crypto pricing," Finance Research Letters, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:finlet:v:82:y:2025:i:c:s1544612325007597
    DOI: 10.1016/j.frl.2025.107500
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    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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