Detecting bubbles in bitcoin price dynamics via \textit{market exuberance}

DOI10.1007/s10479-019-03321-zzbMath1476.91198OpenAlexW2963193923WikidataQ111689789 ScholiaQ111689789MaRDI QIDQ2241076

Alessandra Cretarola, Gianna Figà-Talamanca

Publication date: 8 November 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03321-z

zbMATH Keywords

bubblelocal martingalebitcoinmarket exuberance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (7)

Bitcoin: jumps, convenience yields, and option prices ⋮ Optimal feedback control of stock prices under credit risk dynamics ⋮ Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages ⋮ Complexity traits and synchrony of cryptocurrencies price dynamics ⋮ A differential evolution-based regression framework for forecasting Bitcoin price ⋮ How is price explosivity triggered in the cryptocurrency markets? ⋮ Market attention and Bitcoin price modeling: theory, estimation and option pricing

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