Is the Bitcoin Rush Over?

Dominique Guegan (1, 2, 3, 4, 5) , Marius Cristian Frunza (6, 3)

1 UP1 - Université Paris 1 Panthéon-Sorbonne
2 CES - Centre d'économie de la Sorbonne
3 Labex ReFi
4 IPAG Business School
5 University of Ca’ Foscari [Venice, Italy]
6 Schwarzthal Kapital

The aim of this research is to explore the econometric features of Bitcoin-USD rates. Various non-Gaussian models are fitted to daily returns in order to underline the unique characteristics of Bitcoin when compared to other more traditional currencies. Market efficiency hypothesis is tested further, and the main reasons for breaches in efficiency are discussed. The main goal of the paper is to assess the presence of bubble effects in this market with customized tests able to detect the timing of various bubbles. The results show that the Bitcoin prices had two episodes of rapid inflation in 2014 and 2017.

Mots clés: Bitcoin; crypto-currencies; bubbles; market efficiency; timeseries modeling

Domaines: Economies et finances; Gestion et management; Méthodes et statistiques; Probabilités [math.PR]; Statistiques [math.ST]

Dominique Guegan, Marius Cristian Frunza. Is the Bitcoin Rush Over?. 2018. ⟨halshs-01822992⟩