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Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2

Author

Listed:
  • Fantazzini, Dean

    () (Moscow School of Economics, Moscow State University, Russian Federation)

  • Nigmatullin, Erik

    () (Bocconi University, Milan, Italy;)

  • Sukhanovskaya, Vera

    () (Perm State National Research University, Russian Federation)

  • Ivliev, Sergey

    () (Perm State National Research University, Russian Federation)

Abstract

This part completes the consultation series dealing with bitcoin price modelling. Particularly, the analysis focuses on 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.

Suggested Citation

  • Fantazzini, Dean & Nigmatullin, Erik & Sukhanovskaya, Vera & Ivliev, Sergey, 2017. "Everything you always wanted to know about bitcoin modelling but were afraid to ask. Part 2," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 45, pages 5-28.
  • Handle: RePEc:ris:apltrx:0308
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2017_45_005-028.pdf
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Zura Kakushadze & Jim Kyung-Soo Liew, 2018. "CryptoRuble: From Russia with Love," Papers 1801.05760, arXiv.org.

    More about this item

    Keywords

    crypto-currencies; hash rate; investors’ attractiveness; social interactions; money supply; money demand; speculation; forecasting; algorithmic trading; bubble; price discovery.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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